A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Paper solves discounted stochastic games with near-optimal time and sample complexity.
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, noisy stochastic games, stochastic games with finite actions and state-independe…
We consider a discounted reward control problem in continuous time stochastic environment where the discount rate might be an unbounded function of the control process. We provide a set of general assumptions to ensure that there exists a smooth classical solution to the corresponding HJB equation. Moreover, some verif…
Study on mean field games with singular controls and their applications.
Paper analyzes robust strategies in a pension plan game with ambiguous financial markets.
We develop an option pricing model based on a tug-of-war game. This two-player zero-sum stochastic differential game is formulated in the context of a multi-dimensional financial market. The issuer and the holder try to manipulate asset price processes in order to minimize and maximize the expected discounted reward. W…
Study competitive energy markets using stochastic impulse games.
We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov Nash equilibrium generated through minimizing the linear quadratic cost subject to Cox-Ingersoll-Ross type processes creates liquidity and …
Consider a two-player zero-sum stochastic game where the transition function can be embedded in a given feature space. We propose a two-player Q-learning algorithm for approximating the Nash equilibrium strategy via sampling. The algorithm is shown to find an -optimal strategy using sample size linear to the number …
We consider the problem of finding stationary Nash equilibria (NE) in a finite discounted general-sum stochastic game. We first generalize a non-linear optimization problem from Filar and Vrieze [2004] to a -player setting and break down this problem into simpler sub-problems that ensure there is no Bellman error fo…
Study on investment strategy for agents with periodic preferences and discounting.
The paper analyzes Q-learning in 2-player Markov games and provides gap-dependent logarithmic regret bounds.
The paper analyzes a game where players must balance short-term and long-term interests, leading to cooperative or competitive outcomes.
Study time-inconsistent portfolio optimization for competitive agents with relative performance criteria.
Investor and firm optimize sustainable investment and emission reduction through a dynamic game.
Study optimal portfolio strategies with time-varying discount rates.
We describe an approximate dynamic programming (ADP) approach to compute approximations of the optimal strategies and of the minimal losses that can be guaranteed in discounted repeated games with vector-valued losses. Such games prominently arise in the analysis of regret in repeated decision-making in adversarial env…
Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from risk-adjusted discounting, we use Perron-Frobenius Theory to isolate a positive martingal…
Investment decisions shift earlier as patience decreases, with implications for pasting conditions.
In this paper we revisit the method of off-policy corrections for reinforcement learning (COP-TD) pioneered by Hallak et al. (2017). Under this method, online updates to the value function are reweighted to avoid divergence issues typical of off-policy learning. While Hallak et al.'s solution is appealing, it cannot ea…
Study dynamic asset allocation in incomplete markets using game theory and nonlocal BSDEs.
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself. Yields vary across different investment opportunities and their interrelations are …
Paper tackles time inconsistency in portfolio management with stochastic volatility and power utility.
Model shows how discount rates affect intergenerational equity in climate mitigation.
Stochastic dividend discount models (Hurley and Johnson, 1994 and 1998, Yao, 1997) present expressions for the expected value of stock prices when future dividends evolve according to some random scheme. In this paper we try to offer a more precise view on this issue proposing a closed-form formula for the variance of …
Novel approach to Nash equilibrium in mean-field stochastic games with operator resolvents.
Approximates discounted moments for financial products using polynomial expansions.
Model shows how financial markets can decarbonize under climate uncertainty.
New method improves convergence for smooth games.
Video games improve vehicle routing performance.
We propose an analytically tractable variation of the minority game in which rational agents use probabilistic strategies. In our model, agents choose between two alternatives repeatedly, and those who are in the minority get a pay-off 1, others zero. The agents optimize the expectation value of their discounted fu…
Multiplayer Online Battle Arena (MOBA) is currently one of the most popular genres of digital games around the world. The domain of knowledge contained in these complicated games is large. It is hard for humans and algorithms to evaluate the real-time game situation or predict the game result. In this paper, we introdu…
We determine the optimal strategy for investing in a Black-Scholes market in order to maximize the probability that wealth at death meets a bequest goal , a type of goal-seeking problem, as pioneered by Dubins and Savage (1965, 1976). The individual consumes at a constant rate , so the level of wealth required fo…
The paper solves investment problems with uncertain factors using game theory.
We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support property. We show that the super-replication price is the cheapest cost of a trivial s…
The paper proposes a new SDF scaled by time-varying volatility from S&P 500 options.
The paper reviews historical and modern approaches to asset pricing probability measures.
Dividend discount models have been developed in a deterministic setting. Some authors (Hurley and Johnson, 1994 and 1998; Yao, 1997) have introduced randomness in terms of stochastic growth rates, delivering closed-form expressions for the expected value of stock prices. This paper extends such previous results by dete…
Deep fictitious play converges to Nash equilibrium in stochastic differential games.
In this paper we propose and analyze a class of -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 theorem. The associated Quasi-Variational-Inequalities include an essential game comp…
A simple strategy optimizes broker-client trading, reducing price discounts for informed traders.
New method handles large reward variations in reinforcement learning.
Study time-inconsistent consumption-investment in incomplete markets with general discount functions.
Algorithm converges to Nash equilibria in competitive games.
Algorithm learns Nash equilibria in stochastic games using entropy-regularized policies.
Paper proves existence and uniqueness of solutions to nonlocal systems, generalizing stochastic game theory.
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless account. The market coefficients and discount factor switch according to a finite…
Graphon game model simplifies stochastic interactions among agents.