相关论文: Stochastic Graphon Games: II. The Linear-Quadratic…
The modelling of linear quadratic Gaussian optimal control problems on large complex networks is intractable computationally. Graphon theory provides an approach to overcome these issues by defining limit objects for infinite sequences of…
This paper studies the limits of empirical means of open-loop Nash equilibria of linear-quadratic stochastic differential games as the number of players goes to infinity, when the corresponding mean field game is of potential type and may…
Mean field games formalize dynamic games with a continuum of players and explicit interaction where the players can have heterogeneous states. As they additionally yield approximate equilibria of corresponding $N$-player games, they are of…
This paper is concerned with a Stackelberg stochastic differential game on a finite horizon in feedback information pattern. A system of parabolic partial differential equations is obtained at the level of Hamiltonian to give the…
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…
A strategy profile in a multi-player game is a Nash equilibrium if no player can unilaterally deviate to achieve a strictly better payoff. A profile is an $\epsilon$-Nash equilibrium if no player can gain more than $\epsilon$ by…
We identify structural assumptions which provide solvability of the Nash system arising from a linear-quadratic closed-loop game, with stable properties with respect to the number of players. In a setting of interactions governed by a…
We examine the problem of the existence of optimal deterministic stationary strategiesintwo-players antagonistic (zero-sum) perfect information stochastic games with finitely many states and actions.We show that the existenceof such…
In this paper we study stochastic dynamic games with many players; these are a fundamental model for a wide range of economic applications. The standard solution concept for such games is Markov perfect equilibrium (MPE), but it is well…
We study stochastic differential games with $N$ players, where interactions are determined by sequences of graphs in which the number of neighbours of each node remains bounded as $N$ grows, such as chain graphs or lattices. Our main goal…
This paper presents a method for solving the Inverse Stochastic Differential Game (ISDG) problem in finite-horizon linear-quadratic Gaussian (LQG) differential games. The objective is to recover cost function parameters of all players, as…
The existence of stationary Markov perfect equilibria in stochastic games is shown under a general condition called "(decomposable) coarser transition kernels". This result covers various earlier existence results on correlated equilibria,…
We consider a symmetric $n$-player nonzero-sum stochastic differential game with controlled jumps and mean-field type interaction among the players. Each player minimizes some expected cost by affecting the drift as well as the jump part of…
We formulate a mean field game where each player stops a privately observed Brownian motion with absorption. Players are ranked according to their level of stopping and rewarded as a function of their relative rank. There is a unique mean…
We consider a class of $N$-player games and mean-field games of singular controls with ergodic performance criterion, providing a benchmark case for irreversible investment games featuring mean-field interaction and strategic…
This paper considers a class of mean field linear-quadratic-Gaussian (LQG) games with model uncertainty. The drift term in the dynamics of the agents contains a common unknown function. We take a robust optimization approach where a…
This paper is concerned with an overlapping information linear-quadratic (LQ) Stackelberg stochastic differential game with two leaders and two followers, where the diffusion terms of the state equation contain both the control and state…
We investigate a linear quadratic stochastic zero-sum game where two players lobby a political representative to invest in a wind turbine farm. Players are time-inconsistent because they discount performance with a non-constant rate. Our…
A class of nonzero-sum stochastic dynamic games with imperfect information structure is investigated. The game involves an arbitrary number of players, modeled as homogeneous Markov decision processes, aiming to find a sequential Nash…
Graph games provide the foundation for modeling and synthesizing reactive processes. In the synthesis of stochastic reactive processes, the traditional model is perfect-information stochastic games, where some transitions of the game graph…