相关论文: Variational Inequality Approach to Stochastic Nash…

We are concerned with optimization in a broad sense through the lens of solving variational inequalities (VIs) -- a class of problems that are so general that they cover as particular cases minimization of functions, saddle-point (minimax)…

We study nested variational inequalities, which are variational inequalities whose feasible set is the solution set of another variational inequality. We present a projected averaging Tikhonov algorithm requiring the weakest conditions in…

We investigate a portfolio selection problem involving multi competitive agents, each exhibiting mean-variance preferences. Unlike classical models, each agent's utility is determined by their relative wealth compared to the average wealth…

We suggest a new approach to creation of general market equilibrium models involving economic agents with local and partial knowledge about the system and under different restrictions. The market equilibrium problem is then formulated as a…

We analyse the computational complexity of finding Nash equilibria in stochastic multiplayer games with $\omega$-regular objectives. While the existence of an equilibrium whose payoff falls into a certain interval may be undecidable, we…

This work proposes a novel distributed approach for computing a Nash equilibrium in convex games with merely monotone and restricted strongly monotone pseudo-gradients. By leveraging the idea of the centralized operator extrapolation method…

A change of variables is introduced to reduce certain nonlinear stochastic evolution equations with multiplicative noise to the corresponding deterministic equation. The result is then used to investigate a stochastic porous medium…

In this paper, we present a novel stochastic method for solving variational inequalities (VI) in the context of Markovian noise. By leveraging Extragradient technique, we can productively solve VI optimization problems characterized by…

We study a class of semi-discrete variational problems that arise in economic matching and game theory, where agents with continuous attributes are matched to a finite set of outcomes with a one dimensional structure. Such problems appear…

This work proposes a novel set of techniques for approximating a Nash equilibrium in a finite, normal-form game. It achieves this by constructing a new reformulation as solving a parameterized system of multivariate polynomials with tunable…

We derive sufficient conditions for the convex and monotonic g-stochastic ordering of diffusion processes under nonlinear g-expectations and g-evaluations. Our approach relies on comparison results for forward-backward stochastic…

An approach to stochastic evolution equations based on a simple generalization of known embedding theorems is presented. It allows for the inclusion of problems which have nonlinear non monotone operators. This is used to discuss the…

In this paper we derive a novel characterization result for time-consistent stochastic control problems with higher-order moments, originally formulated by Wang et al. [SIAM J. Control. Optim., 63 (2025), 1560--1589], and newly explore many…

This paper conducts sensitivity analysis of random constraint and variational systems related to stochastic optimization and variational inequalities. We establish efficient conditions for well-posedness, in the sense of robust Lipschitzian…

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…

This paper investigates online stochastic aggregative games subject to local set constraints and time-varying coupled inequality constraints, where each player possesses a time-varying expectation-valued cost function relying on not only…

We consider an augmented version of Merton's portfolio choice problem, where trading by large investors influences the price of underlying financial asset leading to strategic interaction among investors, with investors deciding their…

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…

Variational inequalities are a universal optimization paradigm that is interesting in itself, but also incorporates classical minimization and saddle point problems. Modern realities encourage to consider stochastic formulations of…

This paper is devoted to variational problems on the set of probability measures which involve optimal transport between unequal dimensional spaces. In particular, we study the minimization of a functional consisting of the sum of a term…