Related papers: Mean-Variance Stackelberg Games with Asymmetric In…
This paper is concerned with the stochastic linear quadratic Stackelberg differential game with overlapping information, where the diffusion terms contain the control and state variables. Here the term "overlapping" means that there are…
This paper analyzes a finite horizon dynamic signaling game motivated by the well-known strategic information transmission problems in economics. The mathematical model involves information transmission between two agents, a sender who…
This paper is concerned with a three-level stochastic linear-quadratic Stackelberg differential game with asymmetric information, in which three players participate credited as Player 1, Player 2 and Player 3. Player 3 acts as the leader of…
A Stackelberg game is played between a leader and a follower. The leader first chooses an action, then the follower plays his best response. The goal of the leader is to pick the action that will maximize his payoff given the follower's…
In this paper, we study closed-loop equilibrium strategies for mean-variance portfolio selection problem in a hidden Markov model with dynamic attention behavior. In addition to the investment strategy, the investor's attention to news is…
Information uncertainty is one of the major challenges facing applications of game theory. In the context of Stackelberg games, various approaches have been proposed to deal with the leader's incomplete knowledge about the follower's…
Remote estimation is a crucial element of real time monitoring of a stochastic process. While most of the existing works have concentrated on obtaining optimal sampling strategies, motivated by malicious attacks on cyber-physical systems,…
We introduce and study incentive equilibria for multi-player meanpayoff games. Incentive equilibria generalise well-studied solution concepts such as Nash equilibria and leader equilibria (also known as Stackelberg equilibria). Recall that…
Many real-world strategic games involve interactions between multiple players. We study a hierarchical multi-player game structure, where players with asymmetric roles can be separated into leaders and followers, a setting often referred to…
Strategic interaction in congested systems is commonly modelled using Stackelberg games, where competing leaders anticipate the behaviour of self-interested followers. A key limitation of existing models is that they typically ignore agents…
This paper investigates a Stackelberg game between an insurer and a reinsurer under the $\alpha$-maxmin mean-variance criterion. The insurer can purchase per-loss reinsurance from the reinsurer. With the insurer's feedback reinsurance…
In this paper, we consider a discrete-time Stackelberg mean field game with a leader and an infinite number of followers. The leader and the followers each observe types privately that evolve as conditionally independent controlled Markov…
We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical…
We study incentive designs for a class of stochastic Stackelberg games with one leader and a large number of (finite as well as infinite population of) followers. We investigate whether the leader can craft a strategy under a dynamic…
In this paper, both dynamic mean-variance portfolio selection problems and dynamic variance hedging problems are discussed under non-Markovian framework. Explicit closed-loop equilibrium strategies of these problems are respectively…
We study policy optimization in Stackelberg mean field games (MFGs), a hierarchical framework for modeling the strategic interaction between a single leader and an infinitely large population of homogeneous followers. The objective can be…
We present a new solution concept called evolutionarily stable Stackelberg equilibrium (SESS). We study the Stackelberg evolutionary game setting in which there is a single leading player and a symmetric population of followers. The leader…
The $1-N$ generalized Stackelberg game (single-leader multi-follower game) is intricately intertwined with the interaction between a leader and followers (hierarchical interaction) and the interaction among followers (simultaneous…
In many settings of interest, a policy is set by one party, the leader, in order to influence the action of another party, the follower, where the follower's response is determined by some private information. A natural question to ask is,…
We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic…