Related papers: Splitting infinity: a de Finetti game with state-d…

In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce risk-sensitivity behaviour for each agent via an exponential utility function. In the game model, each…

This paper is concerned with a linear-quadratic partially observed Stackelberg stochastic differential game with correlated state and observation noises, where the diffusion coefficient does not contain the control variable and the control…

Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has…

This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…

Drawing intuition from a (physical) hydraulic system, we present a novel framework, constructively showing the existence of a strong Nash equilibrium in resource selection games (i.e., asymmetric singleton congestion games) with nonatomic…

This paper investigates a linear-quadratic mean field games problem with common noise, where the drift term and diffusion term of individual state equations are coupled with both the state, control, and mean field terms of the state, and we…

We establish the existence and uniqueness of distributed equilibria to possibly nonsymmetric $N$ player differential games with interactions through controls under displacement semimonotonicity assumptions. Surprisingly, the nonseparable…

We introduce a simple stochastic dynamics for game theory. It assumes ``local'' rationality in the sense that any player climbs the gradient of his utility function in the presence of a stochastic force which represents deviation from…

The last two decades have witnessed a rapid development of quantum information processing, a new paradigm which studies the power and limit of "quantum advantages" in various information processing tasks. Problems such as when quantum…

This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…

In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank account process with a constant interest rate. This…

We consider two classes of constrained finite state-action stochastic games. First, we consider a two player nonzero sum single controller constrained stochastic game with both average and discounted cost criterion. We consider the same…

Traditional solvable game theory and mean-field-type game theory (risk-aware games) predominantly focus on quadratic costs due to their analytical tractability. Nevertheless, they often fail to capture critical non-linearities inherent in…

This paper is about a set-based computing method for solving a general class of two-player zero-sum Stackelberg differential games. We assume that the game is modeled by a set of coupled nonlinear differential equations, which can be…

This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…

This paper proposes a strategic model of pollution control. A firm, representative of the productive sector of a country, aims at maximizing its profits by expanding its production. Assuming that the output of production is proportional to…

We introduce FlipDyn with control, a finite-horizon zero-sum resource takeover game, where a defender and an adversary decide when to takeover and how to control a common resource. At each discrete-time step, the players can take over or…

We consider an $N$-player game where the states of the players evolve with time as Stochastic Differential Equations (SDEs) with interaction only in the drift terms. Each player controls the drift of the SDE satisfied by her state process,…

We present a comprehensive study of utility function of the minority game in its efficient regime. We develop an effective description of state of the game. For the payoff function $g(x)=\sgn (x)$ we explicitly represent the game as the…

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…