Related papers: A New Approach for the Continuous Time Kyle-Back S…
In this paper, we are concerned with the stabilizatbility of Stackelberg game-based systems. In particular, two players are involved in the system where one is the follower to minimize the related cost function and the other is the leader…
We study the problem of finding equilibrium strategies in multi-agent games with incomplete payoff information, where the payoff matrices are only known to the players up to some bounded uncertainty sets. In such games, an ex-post…
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the…
We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market parameters, including volatility and drift, are allowed to…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…
This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs) with partial information, where the information of the follower is a sub-$\sigma$-algebra of that of the leader. Necessary and sufficient…
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…
This paper investigates strategic interactions within a three party deception security game involving a defender, an insider, and external attackers. We propose a robust deception mechanism where the leader manipulates game parameters…
This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…
We study a continuum model for stochastic reinforcement learning in repeated market entry games. Starting from a discrete-time microscopic learning rule, we derive a Fokker--Planck-type equation for the distribution of agents' propensities…
Westudy how a planner can design dynamic interventions to overcome status-quo inertia in living temporal games, where strategic agents control their state (active, sleep, partially dead) on a temporal network. Building on the…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
We study dynamic relationships in which one party extracts current surplus in ways that degrade the future state, while the counterparty cannot exit but adjusts effort in response. Standard stationary Markov equilibria may sustain collapse…
We investigate a time-inconsistent, non-Markovian finite-player game in continuous time, where each player's objective functional depends non-linearly on the expected value of the state process. As a result, the classical Bellman optimality…
The present paper investigates how insiders strategically navigate ongoing legal risk while leveraging stealth trading within a continuous-time Kyle-type framework. Legal enforcement operates concurrently with trading, which dynamic can be…
A Dynkin game is considered for stochastic differential equations with random coefficients. We first apply Qiu and Tang's maximum principle for backward stochastic partial differential equations to generalize Krylov estimate for the…
This paper is concerned with a Stackelberg stochastic differential game, where the systems are driven by stochastic differential equation (SDE for short), in which the control enters the randomly disturbed coefficients (drift and…
This paper characterizes differentiable and subgame Markov perfect equilibria in a continuous time intertemporal decision problem with non-constant discounting. Capturing the idea of non commitment by letting the commitment period being…
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the…
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…