A two-agent non-zero-sum mean-variance game with Choquet-regularized exploration has a time-consistent Nash equilibrium, explicit in a Gaussian market, and a policy iteration scheme that is claimed to converge uniformly to it.
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A non-zero-sum game with reinforcement learning under mean-variance framework
A two-agent non-zero-sum mean-variance game with Choquet-regularized exploration has a time-consistent Nash equilibrium, explicit in a Gaussian market, and a policy iteration scheme that is claimed to converge uniformly to it.