Related papers: Stochastic analysis of an agent-based model

This paper explores a novel extension of dynamic matching theory by analyzing a three-way matching problem involving agents from three distinct populations, each with two possible types. Unlike traditional static or two-way dynamic models,…

In this paper we study the problem of information sharing among rational self-interested agents as a dynamic game of asymmetric information. We assume that the agents imperfectly observe a Markov chain and they are called to decide whether…

We study Bayesian coordination games where agents receive noisy private information over the game's payoff structure, and over each others' actions. If private information over actions is precise, we find that agents can coordinate on…

The field of Game Theory provides a useful mechanism for modeling many decision-making scenarios. In participating in these scenarios individuals and groups adopt particular strategies, which generally perform with varying levels of…

Recent work has shown how information theory extends conventional full-rationality game theory to allow bounded rational agents. The associated mathematical framework can be used to solve constrained optimization problems. This is done by…

Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from…

We study a general class of dynamic games with asymmetric information where agents' beliefs are strategy dependent, i.e. signaling occurs. We show that the notion of sufficient information, introduced in the companion paper team, can be…

We describe the results of analytic calculations and computer simulations of adaptive predictors (predictive agents) responding to an evolving chaotic environment and to one another. Our simulations are designed to quantify adaptation and…

This paper is concerned with the stochastic linear quadratic Stackelberg differential game with overlapping information, where the diffusion terms contain the control and state variables. Here the term "overlapping" means that there are…

In this work, we consider the problem of autonomous racing with multiple agents where agents must interact closely and influence each other to compete. We model interactions among agents through a game-theoretical framework and propose an…

This paper studies a class of dynamic Stackelberg games under open-loop information structure with constrained linear agent dynamics and quadratic utility functions. We show two important properties for this class of dynamic Stackelberg…

Multi-agent systems are prevalent in a wide range of domains including power systems, vehicular networks, and robotics. Two important problems to solve in these types of systems are how the intentions of non-coordinating agents can be…

This paper formally models the strategic repeated interactions between a system, comprising of a machine learning (ML) model and associated explanation method, and an end-user who is seeking a prediction/label and its explanation for a…

Two traditional paradigms are often used to describe the behavior of agents in multi-agent complex systems. In the first one, agents are considered to be fully rational and systems are seen as multi-player games. In the second one, agents…

In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…

Extensive work has been conducted both in game theory and logic to model strategic interaction. An important question is whether we can use these theories to design agents for interacting with people? On the one hand, they provide a formal…

In this paper, we consider a learning problem among non-cooperative agents interacting in a time-varying system. Specifically, we focus on repeated linear quadratic network games, in which the network of interactions changes with time and…

Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…

Distributed decision making in multi-agent networks has recently attracted significant research attention thanks to its wide applicability, e.g. in the management and optimization of computer networks, power systems, robotic teams, sensor…

This paper studies a multi-player, general-sum stochastic game characterized by a dual-stage temporal structure per period. The agents face uncertainty regarding the time-evolving state that is realized at the beginning of each period.…