Related papers: Competitive optimal portfolio selection under mean…
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a…
We are interested in the study of stochastic games for which each player faces an optimal stopping problem. In our setting, the players may interact through the criterion to optimise as well as through their dynamics. After briefly…
We study a class of semi-discrete variational problems that arise in economic matching and game theory, where agents with continuous attributes are matched to a finite set of outcomes with a one dimensional structure. Such problems appear…
This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth, our framework can accommodate running MV objectives with general…
In this paper we derive a novel characterization result for time-consistent stochastic control problems with higher-order moments, originally formulated by Wang et al. [SIAM J. Control. Optim., 63 (2025), 1560--1589], and newly explore many…
In this paper, we consider a Nash equilibrium seeking problem for a class of high-order multi-agent systems with unknown dynamics. Different from existing results for single integrators, we aim to steer the outputs of this class of…
In this work, we systematically investigate mean field games and mean field type control problems with multiple populations using a coupled system of forward-backward stochastic differential equations of McKean-Vlasov type stemming from…
We consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study, with analytical and numerical methods, the resulting Nash…
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…
We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game.…
We study a class of dynamic decision problems of mean field type with time inconsistent cost functionals, and derive a stochastic maximum principle to characterize subgame perfect Nash equilibrium points. Subsequently, this approach is…
We study discrete-time mean-field Markov games with infinite numbers of agents where each agent aims to minimize its ergodic cost. We consider the setting where the agents have identical linear state transitions and quadratic cost…
Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical setting, the number of players is large but fixed throughout…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
We study a n-player and mean-field portfolio optimization problem under relative performance concerns with non-zero volatility, for wealth and consumption. The consistency assumption defining forward relative performance processes leads to…
Much work in AI deals with the selection of proper actions in a given (known or unknown) environment. However, the way to select a proper action when facing other agents is quite unclear. Most work in AI adopts classical game-theoretic…
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
We consider seeking a Nash equilibrium (NE) of a monotone game, played by dynamic agents which are modeled as a class of lower-triangular nonlinear uncertain dynamics with external disturbances. We establish a general framework that…
In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a financial market consisting of a risk-free asset and a risky…