相关论文: Arbitrage Pricing of Multi-person Game Contingent …

It is known that a player in a noncooperative game can benefit by publicly restricting his possible moves before play begins. We show that, more generally, a player may benefit by publicly committing to pay an external party an amount that…

We study the upper hedging price for contingent claims in market models with strong types of arbitrage: increasing profit, strong arbitrage, and arbitrage of the first kind. The existence of arbitrage may make the price smaller than if it…

We consider an extension of strategic normal form games with a phase before the actual play of the game, where players can make binding offers for transfer of utilities to other players after the play of the game, contingent on the…

We construct algorithms for computation of prices and superhedging strategies for game options in general discrete markets both from the seller and the buyer points of view.

Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has the right to cancel the option gradually at a mixed (or…

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…

We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to cooperate through exchanges. We accordingly establish versions of…

We consider an extension of strategic normal form games with a phase of negotiations before the actual play of the game, where players can make binding offers for transfer of utilities to other players after the play of the game, in order…

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…

This paper provides sufficient conditions for the existence of solutions for two-person zero-sum games with inf/sup-compact payoff functions and with possibly noncompact decision sets for both players. Payoff functions may be unbounded, and…

When there is a dispute between players on how to divide multiple divisible assets, how should it be resolved? In this paper we introduce a multi-asset game model that enables cooperation between multiple agents who bargain on sharing K…

In two-player games on graphs, the players move a token through a graph to produce an infinite path, which determines the winner of the game. Such games are central in formal methods since they model the interaction between a…

We discuss final-offer arbitration where two quantitative issues are in dispute and model it as a zero-sum game. Under reasonable assumptions we both derive a pure strategy pair and show that it is both a local equilibrium and furthermore…

A multi-player competitive Dynkin stopping game is constructed. Each player can either exit the game for a fixed payoff, determined a priori, or stay and receive an adjusted payoff depending on the decision of other players. The single…

The idea of this paper is an advanced game concept. This concept is expected to model non-monetary bilateral cooperations between self-interested agents. Such non-monetary cases are social cooperations like allocation of high level jobs or…

In this paper, we introduce and study a class of games called price-coupling games that arise in many scenarios, especially in the electricity industry. In a price-coupling game, there is a part of the objective function of a player which…

We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…

We address the equilibrium concept of a reverse auction game so that no one can enhance the individual payoff by a unilateral change when all the others follow a certain strategy. In this approach the combinatorial possibilities to consider…

We propose two novel frameworks to study the price formation of an asset negotiated in an order book. Specifically, we develop a game-theoretic model in many-person games and mean-field games, considering costs stemming from limited…

We study two player reachability-price games on single-clock timed automata. The problem is as follows: given a state of the automaton, determine whether the first player can guarantee reaching one of the designated goal locations. If a…