Related papers: Statistical equilibrium in simple exchange games I
We investigate the convergence of symmetric stochastic differential games with interactions via control, where the volatility terms of both idiosyncratic and common noises are controlled. We apply the stochastic maximum principle, following…
The classical, complete-information two-player games assume that the problem data (in particular the payoff matrix) is known exactly by both players. In a now famous result, Nash has shown that any such game has an equilibrium in mixed…
This paper studies a multi-player, general-sum stochastic game characterized by a dual-stage temporal structure per period. The agents face uncertainty regarding the time-evolving state that is realized at the beginning of each period.…
We study the problem of finding robust equilibria in multiplayer concurrent games with mean payoff objectives. A $(k,t)$-robust equilibrium is a strategy profile such that no coalition of size $k$ can improve the payoff of one its member by…
We consider a class of two-player dynamic stochastic nonzero-sum games where the state transition and observation equations are linear, and the primitive random variables are Gaussian. Each controller acquires possibly different dynamic…
This work contains the mathematical exploration of a few prototypical games in which central concepts from statistics and probability theory naturally emerge. The first two kinds of games are termed Fisher and Bayesian games, which are…
We consider a multi-player stochastic differential game with linear McKean-Vlasov dynamics and quadratic cost functional depending on the variance and mean of the state and control actions of the players in open-loop form. Finite and…
Stochastic differential games are considered in a non-Markovian setting. Typically, in stochastic differential games the modulating process of the diffusion equation describing the state flow is taken to be Markovian. Then Nash equilibria…
We propose a continuous version of the classical Gale--Berlekamp switching game. We also study a weighted version of this new continuous game. The main results of this paper concern growth estimates for the corresponding optimization…
This paper analyzes a finite horizon dynamic signaling game motivated by the well-known strategic information transmission problems in economics. The mathematical model involves information transmission between two agents, a sender who…
We propose a direct numerical method to calculate the statistics of the number of transitions in stochastic processes, without having to resort to Monte Carlo calculations. The method is based on a generating function method, and arbitrary…
Game theory is the standard tool used to model strategic interactions in evolutionary biology and social science. Traditional game theory studies the equilibria of simple games. But is traditional game theory applicable if the game is…
The game-theoretic risk management framework put forth in the precursor work "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) is herein extended by algorithmic details on how to…
A classical problem for Markov chains is determining their stationary (or steady-state) distribution. This problem has an equally classical solution based on eigenvectors and linear equation systems. However, this approach does not scale to…
We use techniques from the statistical mechanics of disordered systems to analyse the properties of Nash equilibria of bimatrix games with large random payoff matrices. By means of an annealed bound, we calculate their number and analyse…
We investigate the unbiased model for money exchanges: agents give at random time a dollar to one another (if they have one). Surprisingly, this dynamics eventually leads to a geometric distribution of wealth (shown empirically by…
This paper introduces a class of continuous-time, finite-player stochastic general-sum differential games that admit solutions through an exact linear PDE system. We formulate a distribution planning game utilizing the cross-log-likelihood…
We study a two-player zero-sum stochastic differential game with asymmetric information where the payoff depends on a controlled continuous-time Markov chain X with finite state space which is only observed by player 1. This model was…
We consider in discrete time, a general class of sequential stochastic dynamic games with asymmetric information with the following features. The underlying system has Markovian dynamics controlled by the agents' joint actions. Each agent's…
Spatio-temporal hidden Markov models are extremely difficult to estimate because their latent joint distributions are available only in trivial cases. In the estimation phase, these latent distributions are usually substituted with…