相关论文: Infinite Horizon Markov Economies

Certain but important classes of strategic-form games, including zero-sum and identical-interest games, have the fictitious-play-property (FPP), i.e., beliefs formed in fictitious play dynamics always converge to a Nash equilibrium (NE) in…

In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the…

We study the complexity of central controller synthesis problems for finite-state Markov decision processes, where the objective is to optimize both the expected mean-payoff performance of the system and its stability. We argue that the…

In this paper we study a discrete-time semidiscretization and a fully discretization (discrete-time, discrete-state) of an infinite time horizon noncooperative $N$-player differential game. We prove that as either the discretization time…

We consider a class of two-player dynamic stochastic nonzero-sum games where the state transition and observation equations are linear, and the primitive random variables are Gaussian. Each controller acquires possibly different dynamic…

Real economies can be modeled as a sequential imperfect-information game with many heterogeneous agents, such as consumers, firms, and governments. Dynamic general equilibrium (DGE) models are often used for macroeconomic analysis in this…

We consider a dynamic traffic routing game over an urban road network involving a large number of drivers in which each driver selecting a particular route is subject to a penalty that is affine in the logarithm of the number of drivers…

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…

In this paper, we study an infinite horizon non-autonomous stochastic recursive differential game. To this end, we first establish well-posedness and stability results for BSDEs with a time-dependent discount factor and a possibly unbounded…

It is well-known that for infinitely repeated games, there are computable strategies that have best responses, but no computable best responses. These results were originally proved for either specific games (e.g., Prisoner's dilemma), or…

In the present paper, we consider a class of two players infinite horizon differential games, with piecewise smooth costs exponentially discounted in time. Through the analysis of the value functions, we study in which cases it is possible…

We study a decentralized matching market in which firms sequentially make offers to potential workers. For each offer, the worker can choose "accept" or "reject," but the decision is irrevocable. The acceptance of an offer guarantees her…

This paper develops a predictive compensation framework for finite-horizon, discrete-time linear quadratic dynamic games subject to Gauss-Markov execution deviations from feedback Nash strategies. One player's control is corrupted by…

We propose a new model, independent linear Markov game, for multi-agent reinforcement learning with a large state space and a large number of agents. This is a class of Markov games with independent linear function approximation, where each…

We address the problem of mechanism design for two-stage repeated stochastic games -- a novel setting using which many emerging problems in next-generation electricity markets can be readily modeled. Repeated playing affords the players a…

We characterize the shape of spatial externalities in a continuous time and space differential game with transboundary pollution. We posit a realistic spatiotemporal law of motion for pollution (diffusion and advection), and tackle…

We consider zero-sum stochastic games for continuous time Markov decision processes with risk-sensitive average cost criterion. Here the transition and cost rates may be unbounded. We prove the existence of the value of the game and a…

This paper is concerned with two-person mean-field linear-quadratic non-zero sum stochastic differential games in an infinite horizon. Both open-loop and closed-loop Nash equilibria are introduced. Existence of an open-loop Nash equilibrium…

We present a new model of incomplete information games without private information in which the players use a distributionally robust optimization approach to cope with the payoff uncertainty. With some specific restrictions, we show that…

Through a stochastic control theoretic approach, we analyze reputation games where a strategic long-lived player acts in a sequential repeated game against a collection of short-lived players. The key assumption in our model is that the…