Related papers: Least-Squares Prices of Games

It is shown that the the popular least squares method of option pricing converges even under very general assumptions. This substantially increases the freedom of creating different implementations of the method, with varying levels of…

Priced timed games are two-player zero-sum games played on priced timed automata (whose locations and transitions are labeled by weights modeling the costs of spending time in a state and executing an action, respectively). The goals of the…

We study zero-sum repeated games where the minimizing player has to pay a certain cost each time he changes his action. Our contribution is twofold. First, we show that the value of the game exists in stationary strategies, depending solely…

Here, we present a variant of the sliding coins game. Two coins are placed on distinct squares of a semi-infinite linear board with squares numbered $0, 1, 2, dots, $. Two players take turns and move a coin to a lower unoccupied square.…

Many important values for cooperative games are known to arise from least square optimization problems. The present investigation develops an optimization framework to explain and clarify this phenomenon in a general setting. The main…

Priced timed games are two-player zero-sum games played on priced timed automata (whose locations and transitions are labeled by weights modelling the cost of spending time in a state and executing an action, respectively). The goals of the…

In Zeng et al. [Fluct. Noise Lett. 7 (2007) L439--L447] the analysis of the lowest unique positive integer game is simplified by some reasonable assumptions that make the problem tractable for arbitrary numbers of players. However, here we…

This paper is intended to help the readers to understand the article: Y. Hirashita, Least-Squares Prices of Games, Preprint (arXiv:math.OC/0703079).

In this paper, we study a game with positive or plus infinite expectation and determine the optimal proportion of investment for maximizing the limit expectation of growth rate per attempt. With this objective, we introduce a new pricing…

Stochastic games are an important class of problems that generalize Markov decision processes to game theoretic scenarios. We consider finite state two-player zero-sum stochastic games over an infinite time horizon with discounted rewards.…

In settings where full incentive-compatibility is not available, such as core-constraint combinatorial auctions and budget-balanced combinatorial exchanges, we may wish to design mechanisms that are as incentive-compatible as possible. This…

A risk-neutral valuation framework is developed for pricing and hedging in-play football bets based on modelling scores by independent Poisson processes with constant intensities. The Fundamental Theorems of Asset Pricing are applied to…

We introduce a new family of one-player games, involving the movement of coins from one configuration to another. Moves are restricted so that a coin can be placed only in a position that is adjacent to at least two other coins. The goal of…

For a game with positive profit, the optimal proportion of investment required to continue investing without borrowing is uniquely determined by an integral equation for each price. For a game with parallel translated profit, the ratio of…

In this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize…

We study partial hedging for game options in markets with transaction costs bounded from below. More precisely, we assume that the investor's transaction costs for each trade are the maximum between proportional transaction costs and a…

This paper studies a class of network games with linear-quadratic payoffs and externalities exerted through a strictly concave interaction function. This class of game is motivated by the diminishing marginal effects with peer influences.…

Simple stochastic games are turn-based 2.5-player zero-sum graph games with a reachability objective. The problem is to compute the winning probability as well as the optimal strategies of both players. In this paper, we compare the three…

The price of anarchy, originally introduced to quantify the inefficiency of selfish behavior in routing games, is extended to mean field games. The price of anarchy is defined as the ratio of a worst case social cost computed for a mean…

We consider discrete time partially observable zero-sum stochastic game with average payoff criterion. We study the game using an equivalent completely observable game. We show that the game has a value and also we come up with a pair of…