相关论文: Game-theoretic approach to risk-sensitive benchmar…

In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive discounted-cost optimality criterion. Risk-sensitivity is introduced for each agent (player) via an exponential utility function. In…

Stochastic games combine controllable and adversarial non-determinism with stochastic behavior and are a common tool in control, verification and synthesis of reactive systems facing uncertainty. Multi-objective stochastic games are natural…

The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time…

This paper is concerned with a new type of differential game problems of forwardbackward stochastic systems. There are three distinguishing features: Firstly, our game systems are forward-backward doubly stochastic differential equations,…

We explore a scenario involving two sites and a sequential game between a defender and an attacker, where the defender is responsible for securing the sites while the attacker aims to attack them. Each site holds a loss value for the…

We introduce a two-player model of reinforcement learning with memory. Past actions of an iterated game are stored in a memory and used to determine player's next action. To examine the behaviour of the model some approximate methods are…

This paper presents a novel approach to numerically solve stochastic differential games for nonlinear systems. The proposed approach relies on the nonlinear Feynman-Kac theorem that establishes a connection between parabolic deterministic…

This is a follow up of our previous paper - Trybu{\l}a and Zawisza \cite{TryZaw}, where we considered a modification of a monotone mean-variance functional in continuous time in stochastic factor model. In this article we address the…

We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Furthermore, each agent is faced with an optimization problem in…

This paper investigates a robust incentive Stackelberg stochastic differential game problem for a linear-quadratic mean field system, where the model uncertainty appears in the drift term of the leader's state equation. Moreover, both the…

This paper studies remote state estimation under denial-of-service (DoS) attacks. A sensor transmits its local estimate of an underlying physical process to a remote estimator via a wireless communication channel. A DoS attacker is capable…

This paper is about a set-based computing method for solving a general class of two-player zero-sum Stackelberg differential games. We assume that the game is modeled by a set of coupled nonlinear differential equations, which can be…

A quantum financial approach to finite games of strategy is addressed, with an extension of Nash's theorem to the quantum financial setting, allowing for an entanglement of games of strategy with two-period financial allocation problems…

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…

We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic differential equations. We prove that each player's priority…

Probabilistic timed automata are a suitable formalism to model systems with real-time, nondeterministic and probabilistic behaviour. We study two-player zero-sum games on such automata where the objective of the game is specified as the…

In financial markets, agents often mutually influence each other's investment strategies and adjust their strategies to align with others. However, there is limited quantitative study of agents' investment strategies in such scenarios. In…

In cellular networks, User Equipment (UE) handoff from one Base Station (BS) to another, giving rise to the load balancing problem among the BSs. To address this problem, BSs can work collaboratively to deliver a smooth migration (or…

This paper studies a stochastic dynamic game between two competing teams, each consisting of a network of collaborating agents. Unlike fully cooperative settings, where all agents share a common objective, each team in this game aims to…

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…