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

In this paper, the problem of smart grid energy management under stochastic dynamics is investigated. In the considered model, at the demand side, it is assumed that customers can act as prosumers who own renewable energy sources and can…

We motivate and propose a new model for non-cooperative Markov game which considers the interactions of risk-aware players. This model characterizes the time-consistent dynamic "risk" from both stochastic state transitions (inherent to the…

This paper investigates the robust {non-zero-sum} games in an aggregated {overfunded} defined benefit (abbr. DB) pension plan. The sponsoring firm is concerned with the investment performance of the fund surplus while the participants act…

A key challenge in multi-agent systems is the design of intelligent agents solving real-world tasks in close interaction with other agents (e.g. humans), thereby being confronted with a variety of behavioral variations and limited knowledge…

This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within a given range, we constrain them via a penalty function. We…

Through a stochastic control theoretic approach, we analyze reputation games where a strategic long-lived player acts in a sequential repeated game against a collection of short-lived players. The key assumption in our model is that the…

We present a novel, game theoretic representation of a multi-agent prediction market using a partially observable stochastic game with information (POSGI). We then describe a correlated equilibrium (CE)-based solution strategy for this game…

We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short…

This article is dedicated to the study of mixed zero-sum two-player stochastic differential games in the situation when the player's cost functionals are modeled by doubly controlled reflected backward stochastic equations with two barriers…

One index satisfies the duality axiom if one agent, who is uniformly more risk-averse than another, accepts a gamble, the latter accepts any less risky gamble under the index. Aumann and Serrano (2008) show that only one index defined for…

This paper focuses on multi-agent stochastic differential games for jump-diffusion systems. On one hand, we study the multi-agent game for optimal investment in a jump-diffusion market. We derive constant Nash equilibria and provide…

In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce risk-sensitivity behaviour for each agent via an exponential utility function. In the game model, each…

Classical game-theoretic approaches for multi-agent systems in both the forward policy design problem and the inverse reward learning problem often make strong rationality assumptions: agents perfectly maximize expected utilities under…

We investigate a two-player zero-sum stochastic differential game in which one of the players has more information on the game than his opponent. We show how to construct numerical schemes for the value function of this game, which is given…

This paper investigates a Stackelberg game between an insurer and a reinsurer under the $\alpha$-maxmin mean-variance criterion. The insurer can purchase per-loss reinsurance from the reinsurer. With the insurer's feedback reinsurance…

One of the contributions of this work is to formulate the problem of energy-efficient power control in multiple access channels (namely, channels which comprise several transmitters and one receiver) as a stochastic differential game. The…

Game theory has traditionally had a relatively limited view of risk based on how a player's expected reward is impacted by the uncertainty of the actions of other players. Recently, a new game-theoretic approach provides a more holistic…

We consider an N-player hierarchical game in which the i-th player's objective comprises of an expectation-valued term, parametrized by rival decisions, and a hierarchical term. Such a framework allows for capturing a broad range of…

We study optimal reinsurance in the framework of stochastic game theory, in which there is an insurer and two reinsurers. A Stackelberg model is established to analyze the non-cooperative relationship between the insurer and reinsurers,…

This paper investigates the two-person zero-sum stochastic games for piece-wise deterministic Markov decision processes with risk-sensitive finite-horizon cost criterion on a general state space. Here, the transition and cost/reward rates…