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We develop a framework for studying and quantifying the risk of cascading failures in time-delay consensus networks, motivated by a team of agents attempting temporal rendezvous under stochastic disturbances and communication delays. To…
A new agent-based, bounded-confidence model for discrete one-dimensional opinion dynamics is presented. The agents interact if their opinions do not differ more than a tolerance parameter. In pairwise interactions, one of the pair, randomly…
Conventional distributed approaches to coverage control may suffer from lack of convergence and poor performance, due to the fact that agents have limited information, especially in non-convex discrete environments. To address this issue,…
We derive a class of macroscopic differential equations that describe collective adaptation, starting from a discrete-time stochastic microscopic model. The behavior of each agent is a dynamic balance between adaptation that locally…
This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the…
Models of continuous opinion dynamics under bounded confidence have been presented independently by Krause and Hegselmann and by Deffuant et al in 2000. They have raised a fair amount of attention in the communities of social simulation,…
Multivariate data occurs in a wide range of fields, with ever more flexible model specifications being proposed, often within a multivariate generalised linear mixed effects (MGLME) framework. In this article, we describe an extended…
This paper studies a class of consensus dynamics where the interactions between agents are affected by a time-varying unknown scaling factor. This situation is encountered in the control of robotic fleets over a wireless network or in…
We show that, in large population games, decentralized information aggregation generically corrects for individual-level biases. This establishes a new testable aggregate efficiency benchmark where the behavior of boundedly rational agents…
We characterize when a convex risk measure associated to a law-invariant acceptance set in $L^\infty$ can be extended to $L^p$, $1\leq p<\infty$, preserving finiteness and continuity. This problem is strongly connected to the statistical…
We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…
It is well-known that a random variable, i.e., a function defined on a probability space, with values in a Borel space, can be represented on the special probability space consisting of the unit interval with Lebesgue measure. We show an…
The dynamics of protection processes has been a fundamental challenge in systemic risk analysis. The conceptual principle and methodological techniques behind the mechanisms involved [in such dynamics] have been harder to grasp than…
Dynamic contracts with multiple agents is a classical decentralized decision-making problem with asymmetric information. In this paper, we extend the single-agent dynamic incentive contract model in continuous-time to a multi-agent scheme…
The Allais and Ellsberg paradoxes show that the expected utility hypothesis and Savage's Sure-Thing Principle are violated in real life decisions. The popular explanation in terms of 'ambiguity aversion' is not completely accepted. On the…
I examine global dynamics in a monetary model with overlapping generations of finite-horizon agents and a binding lower bound on nominal interest rates. Debt targeting rules exacerbate the possibility of self-fulfilling liquidity traps, for…
We obtain large deviation results for non-uniformly expanding maps with non-flat singularities or criticalities and for partially hyperbolic non-uniformly expanding attracting sets. That is, given a continuous function we consider its space…
We study a model for social influence in which the agents' opinion is a continuous variable [G. Weisbuch et al., Complexity \textbf{7}, 2, 55 (2002)]. The convergent opinion adjustment process takes place as a result of random binary…
We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She…
In science and especially in economics, agent-based modeling has become a widely used modeling approach. These models are often formulated as a large system of difference equations. In this study, we discuss two aspects, numerical modeling…