3 papers
math.OC2026
A Principal-Agent Mean-Field Game Model of Insurance with Risk Interdependence
Asaf Cohen, Ruolan He, Mingyan Liu
We study an insurance contract-design problem under moral hazard, endogenous participation, and strategic risk interdependence. Because the resulting -agent game suffers from th…
math.OC2026
Turnpike properties in linear quadratic Gaussian N-player differential games
Asaf Cohen, Jiamin Jian
We consider the long-time behavior of equilibrium strategies and state trajectories in a linear quadratic -player game with Gaussian initial data. By comparing the finite-horizo…
math.OC2026
Thompson Sampling Algorithm for Stochastic Games
Asaf Cohen, Ruolan He, Yuqiong Wang
We study a stochastic differential game with competitive players in a linear-quadratic framework with ergodic cost, where -dimensional diffusion processes govern the state d…