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

Matrix games constitute a fundamental problem of game theory and describe a situation of two players with completely conflicting interests. We show how methods from statistical mechanics can be used to investigate the statistical properties…

We introduce a novel framework to account for sensitivity to rewards uncertainty in sequential decision-making problems. While risk-sensitive formulations for Markov decision processes studied so far focus on the distribution of the…

The core is a dominant solution concept in economics and cooperative game theory; it is predominantly used for profit, equivalently cost or utility, sharing. This paper demonstrates the versatility of this notion by proposing a completely…

The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…

This paper is mainly a survey of recent research developments regarding methods for risk minimization in financial markets modeled by It\^o-L\'evy processes, but it also contains some new results on the underlying stochastic maximum…

The rapid progression of sophisticated advance metering infrastructure (AMI), allows us to have a better understanding and data from demand-response (DR) solutions. There are vast amounts of research on the internet of things and its…

We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a…

We study a finite-horizon two-person zero-sum risk-sensitive stochastic game for continuous-time Markov chains and Borel state and action spaces, in which payoff rates, transition rates and terminal reward functions are allowed to be…

We propose a toy model for a stochastic description of the competition between two athletes of unequal strength, whose average strength difference is represented by a parameter $d$. The athletes interact through the choice of their…

The aim of this paper is to formulate and study a stochastic model for the management of environmental assets in a geographical context where in each place the local authorities take their policy decisions maximizing their own welfare,…

This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs), where the coefficients of the backward system and the cost functionals are deterministic, and the control domain is convex. Necessary and…

This paper presents a new safety specification method that is robust against errors in the probability distribution of disturbances. Our proposed distributionally robust safe policy maximizes the probability of a system remaining in a…

Optimal behavior in (competitive) situation is traditionally determined with the help of utility functions that measure the payoff of different actions. Given an ordering on the space of revenues (payoffs), the classical axiomatic approach…

Markov games model interactions among multiple players in a stochastic, dynamic environment. Each player in a Markov game maximizes its expected total discounted reward, which depends upon the policies of the other players. We formulate a…

In this paper, we study a class of risk-sensitive mean-field stochastic differential games. We show that under appropriate regularity conditions, the mean-field value of the stochastic differential game with exponentiated integral cost…

Remote estimation is a crucial element of real time monitoring of a stochastic process. While most of the existing works have concentrated on obtaining optimal sampling strategies, motivated by malicious attacks on cyber-physical systems,…

Strategy evaluation schemes are a crucial factor in any agent-based market model, as they determine the agents' strategy preferences and consequently their behavioral pattern. This study investigates how the strategy evaluation schemes…

Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation problem that…

The purpose of this paper is to provide a complete probabilistic analysis of a large class of stochastic differential games for which the interaction between the players is of mean-field type. We implement the Mean-Field Games strategy…

Autonomous systems can substantially enhance a human's efficiency and effectiveness in complex environments. Machines, however, are often unable to observe the preferences of the humans that they serve. Despite the fact that the human's and…