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

In the paper it is proven that the two-players turn-based stochastic game "Risk or Safety" has a unique solution. Both players need to play the same strategy if they want to maximize their winning chances. An analytical method based on the…

Offline reinforcement learning (RL) aims to find performant policies from logged data without further environment interaction. Model-based algorithms, which learn a model of the environment from the dataset and perform conservative policy…

We investigate the existence of an optimal policy to monitor a mean field systems of agents managing a risky project under moral hazard with accidents modeled by L\'evy processes magnified by the law of the project. We provide a general…

Resource allocation is the process of optimizing the rare resources. In the area of security, how to allocate limited resources to protect a massive number of targets is especially challenging. This paper addresses this resource allocation…

Stochastic two-player games model systems with an environment that is both adversarial and stochastic. The adversarial part of the environment is modeled by a player (Player 2) who tries to prevent the system (Player 1) from achieving its…

We consider a continuum of carbon-emitting firms who seek to maximise their stock price, and a regulator (e.g., Government) who wishes for the economy to flourish, whilst simultaneously punishing firms who behave non-green. Interpreting the…

We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market…

In this paper we study a class of matrix-valued linear-quadratic mean-field-type games for both the risk-neutral, risk-sensitive and robust cases. Non-cooperation, full cooperation and adversarial between teams are treated. We provide a…

In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum…

Future electricity distribution grids will host a considerable share of the renewable energy sources needed for enforcing the energy transition. Demand side management mechanisms play a key role in the integration of such renewable energy…

We study the stochastic assignment game and extend it to model multimodal mobility markets with a regulator or a Mobility-as-a-Service (MaaS) platform. We start by presenting general forms of one-to-one and many-to-many stochastic…

Markov games (MGs) and multi-agent reinforcement learning (MARL) are studied to model decision making in multi-agent systems. Traditionally, the objective in MG and MARL has been risk-neutral, i.e., agents are assumed to optimize a…

In order for agents in multi-agent systems (MAS) to be safe, they need to take into account the risks posed by the actions of other agents. However, the dominant paradigm in game theory (GT) assumes that agents are not affected by risk from…

This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…

Demand side management (DSM) is one of the main functionalities of the smart grid as it allows the consumer to adjust its energy consumption for an efficient energy management. Most of the existing DSM techniques aim at minimizing the…

This paper considers a time-varying game with $N$ players. Every time slot, players observe their own random events and then take a control action. The events and control actions affect the individual utilities earned by each player. The…

The quest for understanding the complex phenomena of the world has led to the development of various fields of science, each with its own methods, models, and assumptions. However, sometimes these fields can intersect and inspire each…

Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has…

In this paper, the interactions and energy exchange decisions of a number of geographically distributed storage units are studied under decision-making involving end-users. In particular, a noncooperative game is formulated between…

In this work, we investigate a security game between an attacker and a defender, originally proposed in \cite{emadi2019security}. As is well known, the combinatorial nature of security games leads to a large cost matrix. Therefore,…