We study a dynamic mean-variance portfolio optimization problem under the reinforcement learning framework, where an entropy regularizer is introduced to induce exploration. Due to the time-inconsistency involved in a mean-variance criterion, we aim to learn an equilibrium strategy. Under an...

This paper aims to characterize a class of stochastic differential games which satisfy the certainty equivalence principle. This means that the Markov Perfect Nash Equilibrium is also an equilibrium of the associated deterministic game. By focusing on a model scalar game with linear dynamics in...

We adapt a deterministic game theoretic framework in discrete time to super-hedge pricing contingent claims (CCs). The key aspect of this framework is that the worst-case scenario dictates the super-hedging price which protects counter-parties in financial contracts from insolvencies. A general...

We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium exists if the price impact parameter is small enough....

This paper studies the mean-variance portfolio selection under the assumption that the market state is modulated by a hidden Markov chain which is unobservable to investors. We employ a game-theoretic formulation to address the time-inconsistency arising in mean-variance analysis for portfolio...

We study a stochastic version of Fudenberg and Tirole's (1985) preemption game to analyze the effects of jumps in the underlying uncertainty on equilibrium strategies. Two firms contemplate entering a new market where the demand follows a jump-diffusion process. Firms differ is the sunk costs of...

In this paper we try to quantify/measure the main factors that influence the equilibrium outcome and pursued strategies in a simplistic model for the use of fossil versus green energy over time. The model is derived using the standard Solow macro-economic growth model in a two-country setting...