arXiv research

PAPAL algorithm finds mixed Nash equilibria in continuous games.

GANs may not have Nash equilibria, but proximal training can find solutions.

The paper examines Nash equilibrium in GANs for stationary Gaussian processes.

New algorithm for solving minimax problems over distributions converges to Nash equilibrium.

Policy mirror ascent achieves Nash equilibrium in mean field games without a population generative model.

New systemic risk models for banks choosing their group memberships.

In this note, we present an existence result of a Nash equilibrium between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity…

Study Nash equilibrium between broker and trader in a lit exchange with price impact.

Study of entropy-regularized LQG MFGs with exploratory actions.

We present and analyze a model for the evolution of the wealth distribution within a heterogeneous economic environment. The model considers a system of rational agents interacting in a game theoretical framework, through fairly general assumptions on the cost function. This evolution drives the dynamic of the agents i…

Improved SEG method converges to Nash equilibrium in bilinear games.

Study Nash equilibrium in mean field portfolio games with random market parameters.

Study analyzes market equilibrium returns with price impact and transaction costs.

Study optimal transport for robust optimization, showing how adversary's strategy relates to regularization.

Study Nash equilibrium in non-zero-sum game with Bermudan strategies.

Algorithm learns Nash equilibria in stochastic games using entropy-regularized policies.

A RL approach finds Nash equilibrium for turn-based zero-sum games.

Policy gradient methods find Nash equilibrium in noisy games.

Study shows how multiple traders can trade together without excessive price impact.

Study Nash equilibrium between broker and informed trader in dealer and lit markets.

Novel approach to Nash equilibrium in mean-field stochastic games with operator resolvents.

Investigates time-inconsistent portfolio selection under MMV preferences.

Proves minimax sample complexity for turn-based stochastic games.

Transient market impact explained via Nash equilibrium in a game.

Deep fictitious play converges to Nash equilibrium in stochastic differential games.

The paper develops a new algorithm for constructing minimax estimators using online learning techniques.

Proposes a new criterion for selecting Nash equilibria considering both utility and inequality.

In this paper we review our earlier work on quantum computing and the Nash Equilibrium, in particular, tracing the history of the discovery of new Nash Equilibria and then reviewing the ways in which quantum computing may be expected to generate new classes of Nash equilibria. We then extend this work through a substan…

Model analyzes competitive pricing strategies in large markets of perishable products.

Paper analyzes adversarial attacks and defenses using game theory.

Paper tackles stochastic control with mean and higher-order moments, finding Nash equilibria.

We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash equilibria. When the discount function induces decreasing impatience, we establish the existence of an equilibrium through …

Save for some special cases, current training methods for Generative Adversarial Networks (GANs) are at best guaranteed to converge to a `local Nash equilibrium` (LNE). Such LNEs, however, can be arbitrarily far from an actual Nash equilibrium (NE), which implies that there are no guarantees on the quality of the found…

New GAN formulation addresses mode collapse issue.

Agents trained with reinforcement learning deviate from Nash equilibrium in optimal execution game.

Data-driven modeling increasingly requires to find a Nash equilibrium in multi-player games, e.g. when training GANs. In this paper, we analyse a new extra-gradient method for Nash equilibrium finding, that performs gradient extrapolations and updates on a random subset of players at each iteration. This approach prova…

Study Nash competition among dealers quoting prices to clients with unknown trading motives.

This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by the current literature. It turns out that, when the market makers are risk averse,…

A new approach to fine-tuning LLMs with human feedback.

New algorithms converge faster to Nash equilibrium in zero-sum games with bandit feedback.

Paper analyzes strategic underreporting in competitive insurance markets.

In this paper we use game theory to model poisoning attack scenarios. We prove the non-existence of pure strategy Nash Equilibrium in the attacker and defender game. We then propose a mixed extension of our game model and an algorithm to approximate the Nash Equilibrium strategy for the defender. We then demonstrate th…

In his lectures at College de France, P.L. Lions introduced the concept of Master equation, see [5] for Mean Field Games. It is introduced in a heuristic fashion, from the system of partial differential equations, associated to a Nash equilibrium for a large, but finite, number of players. The method, also explained in…

Two firms compete in a financial market, choosing dividend strategies to avoid default and maximize profits.

Study equilibrium consumption habits in a large population using mean field games.

Decentralized algorithm reduces regret and converges to Nash equilibrium in online congestion games.

By generalizing the measurements on the game experiments of mixed strategy Nash equilibrium, we study the dynamical pattern in a representative dynamic stochastic general equilibrium (DSGE). The DSGE model describes the entanglements of the three variables (output gap [$y$], inflation [$π$] and nominal interest rate [$…

Optimal algorithm for two-player zero-sum games with linear parameterization.