相关论文: A controller-stopper-game with hidden controller t…

We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…

We introduce a novel class of Nash equilibrium seeking dynamics for non-cooperative games with a finite number of players, where the convergence to the Nash equilibrium is bounded by a KL function with a settling time that can be upper…

We develop a flexible stochastic approximation framework for analyzing the long-run behavior of learning in games (both continuous and finite). The proposed analysis template incorporates a wide array of popular learning algorithms,…

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…

Mean field games are studied by means of the weak formulation of stochastic optimal control. This approach allows the mean field interactions to enter through both state and control processes and take a form which is general enough to…

It is well known that a non-cooperative game may have multiple equilibria. In this paper we consider the efficiency of games, measured by the ratio between the aggregate payoff over all Nash equilibria and that over all admissible controls.…

In this paper we propose and analyze a class of $N$-player stochastic games that include finite fuel stochastic games as a special case. We first derive sufficient conditions for the Nash equilibrium (NE) in the form of a verification…

We consider a nonzero-sum N-player Markov game on an abstract measurable state space with compact metric action spaces. The payoff functions are bounded Carath\'eodory functions and the transitions of the system are assumed to have a…

Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players…

Consider a two-player game repeated N times. Player 1 can choose between two styles (for interpretability, offensive and defensive), whereas Player 2 uses a single fixed style. Let X N\,:= \#wins -\#losses for Player 1 after N games, and…

We consider a general class of finite-player stochastic games with mean-field interaction, in which the linear-quadratic cost functional includes linear operators acting on controls in $L^2$. We propose a novel approach for deriving the…

We study a stochastic game where one player tries to find a strategy such that the state process reaches a target of controlled-loss-type, no matter which action is chosen by the other player. We provide, in a general setup, a relaxed…

A model of stochastic games where multiple controllers jointly control the evolution of the state of a dynamic system but have access to different information about the state and action processes is considered. The asymmetry of information…

We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…

In this tutorial, we provide an introduction to machine learning methods for finding Nash equilibria in games with large number of agents. These types of problems are important for the operations research community because of their…

We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…

We investigate the existence of certain types of equilibria (Nash, $\varepsilon$-Nash, subgame perfect, $\varepsilon$-subgame perfect, Pareto-optimal) in multi-player multi-outcome infinite sequential games. We use two fundamental…

We consider a finite-horizon, zero-sum game in which both players control a stochastic differential equation by invoking impulses. We derive a control randomization formulation of the game and use the existence of a value for the randomized…

We consider strongly monotone games with convex separable coupling constraints, played by dynamical agents, in a partial-decision information scenario. We start by designing continuous-time fully distributed feedback controllers, based on…

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…