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

In decision-dependent games, multiple players optimize their decisions under a data distribution that shifts with their joint actions, creating complex dynamics in applications like market pricing. A practical consequence of these dynamics…

In this paper, we study two-player investment problems with investment costs that are bounded below by some fixed positive constant. We seek a description of optimal investment strategies for a duopoly problem in which two firms invest in…

We consider robust Markov Decision Processes with Borel state and action spaces, unbounded cost and finite time horizon. Our formulation leads to a Stackelberg game against nature. Under integrability, continuity and compactness assumptions…

We consider a game-theoretic model of a market where investors compete for payoffs yielded by several assets. The main result consists in a proof of the existence and uniqueness of a strategy, called relative growth optimal, such that the…

Two-player stochastic games are games with two 2 players and a randomised entity called "nature". A natural question to ask in this framework is the existence of strategies that ensure that an event happens with probability 1 (almost-sure…

We study a portfolio optimization problem for competitive agents with CRRA utilities and a common finite time horizon. The utility of an agent depends not only on her absolute wealth and consumption but also on her relative wealth and…

Variational inequalities are modelling tools used to capture a variety of decision-making problems arising in mathematical optimization, operations research, game theory. The scenario approach is a set of techniques developed to tackle…

We present a reinforcement learning (RL) approach for robust optimisation of risk-aware performance criteria. To allow agents to express a wide variety of risk-reward profiles, we assess the value of a policy using rank dependent expected…

In this paper we introduce the novel framework of distributionally robust games. These are multi-player games where each player models the state of nature using a worst-case distribution, also called adversarial distribution. Thus each…

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…

We consider a system consisting of multiple interdependent assets, and a set of defenders, each responsible for securing a subset of the assets against an attacker. The interdependencies between the assets are captured by an attack graph,…

In this paper we first investigate zero-sum two-player stochastic differential games with reflection with the help of theory of Reflected Backward Stochastic Differential Equations (RBSDEs). We will establish the dynamic programming…

We consider a non-atomic congestion game where each decision maker performs selfish optimization over states of a common MDP. The decision makers optimize for their own expected costs, and influence each other through congestion effects on…

Zero sum games with risk-sensitive cost criterion are considered with underlying dynamics being given by controlled stochastic differential equations. Under the assumption of geometric stability on the dynamics , we completely characterize…

The paper proposes a two player game based strategy for resource allocation in service computing domain such as cloud, grid etc. The players are modeled as demand/workflows for the resource and represent multiple types of qualitative and…

We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent controls the system continuously. Utilizing the notion of…

Partially observable stochastic games provide a rich mathematical paradigm for modeling multi-agent dynamic decision making under uncertainty and partial information. However, they generally do not admit closed-form solutions and are…

The game-theoretic risk management framework put forth in the precursor reports "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) and "Algorithms to Compute Nash-Equilibria in Games…

Asset management attempts to keep the power system in working conditions. It requires much coordination between multiple entities and long term planning often months in advance. In this work we introduce a mid-term asset management…

The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…