arXiv research

Policy gradient methods find Nash equilibrium in noisy 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 [$…

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

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

Method identifies mixed Nash equilibria in high dimensions for training mixtures of GANs.

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

Dynamic pricing policy converges to Nash equilibrium with low regret.

Modeling dealer competition, internalisation and externalisation impact market dynamics and costs.

Motivated by the scarcity of accurate payoff feedback in practical applications of game theory, we examine a class of learning dynamics where players adjust their choices based on past payoff observations that are subject to noise and random disturbances. First, in the single-player case (corresponding to an agent tryi…

Paper analyzes strategic underreporting in competitive insurance markets.

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…

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

A game-theoretic analysis of DEX competition through dynamic trading fees.

Paper presents IPVI for unbiased DGP inference with efficiency.

Study Nash equilibria in mean field portfolio games with consumption.

Paper proposes a mean-field gradient descent for zero-sum games, proving convergence to Nash equilibrium.

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

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

Investors' strategic trading affects asset prices, modeled as a game.

We study discrete-time mean-field Markov games with infinite numbers of agents where each agent aims to minimize its ergodic cost. We consider the setting where the agents have identical linear state transitions and quadratic cost functions, while the aggregated effect of the agents is captured by the population mean o…

Efficient algorithm converges to Nash equilibrium in bilinear problems with bandit feedback.

Study of LQ MFGs in infinite-dimensional Hilbert spaces.

Investigates portfolio selection among competitive agents with mean-variance preferences.

Algorithm finds Nash equilibria in complex games with function approximation.

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.

Mutation improves FTRL convergence in zero-sum games.

Improved SEG method converges to Nash equilibrium in bilinear games.

A new method for RLHF using proximal point Nash learning.

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

We develop a model for the evolution of wealth in a non-conservative economic environment, extending a theory developed earlier by the authors. The model considers a system of rational agents interacting in a game theoretical framework. This evolution drives the dynamic of the agents in both wealth and economic configu…

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

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

PAPAL algorithm finds mixed Nash equilibria in continuous games.

This paper analyzes how multiple investors can exploit relative arbitrage opportunities.

Model explains periodic trading in financial markets through game theory.

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

This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer who engages in order splitting to reach a cumulative trading target and an uncon…

This paper simplifies complex game dynamics by using a recursive representation.

Study on local convergence of min-max algorithms to differential equilibria on Riemannian manifolds.

Deep neural network solves large multi-agent games for Markovian Nash equilibrium.

The paper explores how regularization can lead to convergence in imperfect information games.

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

The paper analyzes optimal investment strategies in a game with jump risk, deriving mean field equilibria.

This paper tackles global Nash equilibrium in non-convex multi-player games.

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.