Related papers: Least-Squares Prices of Games

We consider the pricing of derivatives written on the discretely sampled realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of…

The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…

Feature-based SPL analysis and family-based model checking have seen rapid development. Many model checking problems can be reduced to two-player games on finite graphs. A prominent example is mu-calculus model checking, which is generally…

In a zero-sum stochastic game, at each stage, two adversary players take decisions and receive a stage payoff determined by them and by a controlled random variable representing the state of nature. The total payoff is the normalized…

Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…

This paper gives a complete analysis of worst-case equilibria for various versions of weighted congestion games with two players and affine cost functions. The results are exact price of anarchy bounds which are parametric in the weights of…

Two players alternate tossing a biased coin where the probability of getting heads is p. The current player is awarded alpha points for tails and alpha+beta for heads. The first player reaching n points wins. For a completely unfair coin…

Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…

We investigate zero-sum turn-based two-player stochastic games in which the objective of one player is to maximize the amount of rewards obtained during a play, while the other aims at minimizing it. We focus on games in which the minimizer…

Motivated by cost of computation in game theory, we explore how changing the utilities of players (changing their complexity costs) affects the outcome of a game. We show that even if we improve a player's utility in every action profile,…

We introduce a zero-sum game problem of mean-field type as an extension of the classical zero-sum Dynkin game problem to the case where the payoff processes might depend on the value of the game and its probability law. We establish…

Given a skew-symmetric matrix, the corresponding two-player symmetric zero-sum game is defined as follows: one player, the row player, chooses a row and the other player, the column player, chooses a column. The payoff of the row player is…

Using methods from the statistical mechanics of disordered systems we analyze the properties of bimatrix games with random payoffs in the limit where the number of pure strategies of each player tends to infinity. We analytically calculate…

Variational quantum algorithms (VQAs) offer a promising near-term approach to finding optimal quantum strategies for playing non-local games. These games test quantum correlations beyond classical limits and enable entanglement…

Motivated by recent developments in mean-field games in ecology, in this paper we introduce a connection between the best response dynamics in evolutionary game theory, the minimization of the highest income of a game, and minimizing…

Every simple game is a monotone Boolean function. For the other direction we just have to exclude the two constant functions. The enumeration of monotone Boolean functions with distinguishable variables is also known as the Dedekind's…

We consider extensive form win-lose games over a complete binary-tree of depth $n$ where players act in an alternating manner. We study arguably the simplest random structure of payoffs over such games where 0/1 payoffs in the leafs are…

The paper aims at analyzing the least squares ranking method for generalized tournaments with possible missing and multiple paired comparisons. The bilateral relationships may reflect the outcomes of a sport competition, product…

This paper studies a class of linear quadratic mean field games where the coefficients of quadratic cost functions depend on both the mean and the variance of the population's state distribution through its quantile function. Such a…

We develop an option pricing model based on a tug-of-war game. This two-player zero-sum stochastic differential game is formulated in the context of a multi-dimensional financial market. The issuer and the holder try to manipulate asset…