Related papers: Identification and Estimation of Continuous-Time D…

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 consider the problem of risk-sensitive control of a stochastic network. In controlling such a network, an escape time criterion can be useful if one wishes to regulate the occurrence of large buffers and buffer overflow. In this paper a…

Piecewise-deterministic Markov processes form a general class of non-diffusion stochastic models that involve both deterministic trajectories and random jumps at random times. In this paper, we state a new characterization of the jump rate…

We study nonzero-sum stochastic games for continuous time Markov decision processes on a denumerable state space with risk-sensitive ergodic cost criterion. Transition rates and cost rates are allowed to be unbounded. Under a Lyapunov type…

This paper considers the discounted criterion of nonzero-sum decentralized stochastic games with prospect players. The state and action spaces are finite. The state transition probability is nonstationary. Each player independently controls…

The literature on dynamic discrete games often assumes that the conditional choice probabilities and the state transition probabilities are homogeneous across markets and over time. We refer to this as the "homogeneity assumption" in…

In many multi-player interactions, players incur strictly positive costs each time they execute actions e.g. 'menu costs' or transaction costs in financial systems. Since acting at each available opportunity would accumulate prohibitively…

In~[1],authors considered a general finite horizon model of dynamic game of asymmetric information, where N players have types evolving as independent Markovian process, where each player observes its own type perfectly and actions of all…

We consider zero-sum stochastic games for continuous time Markov decision processes with risk-sensitive average cost criterion. Here the transition and cost rates may be unbounded. We prove the existence of the value of the game and a…

The existence of stationary Markov perfect equilibria in stochastic games is shown under a general condition called "(decomposable) coarser transition kernels". This result covers various earlier existence results on correlated equilibria,…

We consider a discrete-time dynamic search game in which a number of players compete to find an invisible object that is moving according to a time-varying Markov chain. We examine the subgame perfect equilibria of these games. The main…

We develop a continuous-time peer-effect discrete choice model where peers that affect the preferences of a given agent are randomly selected based on their previous choices. We characterize the equilibrium behavior and study the empirical…

We consider a stochastic differential equation that is controlled by means of an additive finite-variation process. A singular stochastic controller, who is a minimizer, determines this finite-variation process, while a discretionary…

Behavioral diversity, expert imitation, fairness, safety goals and others give rise to preferences in sequential decision making domains that do not decompose additively across time. We introduce the class of convex Markov games that allow…

We initiate the study of game dynamics in the population protocol model: $n$ agents each maintain a current local strategy and interact in pairs uniformly at random. Upon each interaction, the agents play a two-person game and receive a…

This paper studies the joint estimation problem of a discrete choice model and the arrival rate of potential customers when unobserved stock-out events occur. In this paper, we generalize [Anupindi et al., 1998] and [Conlon and Mortimer,…

We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process,…

The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…

Spatial evolutionary games model individuals who are distributed in a spatial domain and update their strategies upon playing a normal form game with their neighbors. We derive integro-differential equations as deterministic approximations…

We propose a new evolutionary dynamics for population games with a discrete strategy set, inspired by the theory of optimal transport and Mean field games. The dynamics can be described as a Fokker-Planck equation on a discrete strategy…