Related papers: Equilibrium policies when preferences are time inc…

We study an optimal investment and consumption problem over a finite-time horizon, in which an individual invests in a risk-free asset and a risky asset, and evaluate utility using a general utility function that exhibits loss aversion with…

This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…

We propose a finite automaton-style solution concept for supergames. In our model, we define an equilibrium to be a cycle of state switches and a supergame to be an infinite walk on states of a finite stage game. We show that if the stage…

In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…

This paper investigates a class of optimal control problems associated with Markov processes with local state information. The decision-maker has only local access to a subset of a state vector information as often encountered in…

Groups of humans are often able to find ways to cooperate with one another in complex, temporally extended social dilemmas. Models based on behavioral economics are only able to explain this phenomenon for unrealistic stateless matrix…

This paper focuses on the coordination of a large population of dynamic agents with private information over multiple periods. Each agent maximizes the individual utility, while the coordinator determines the market rule to achieve group…

The decisions that human beings make to allocate time has significant bearing on economic output and to the sustenance of social networks. The time allocation problem motivates our formal analysis of the resource allocation game, where…

We consider the interaction among agents engaging in a driving task and we model it as general-sum game. This class of games exhibits a plurality of different equilibria posing the issue of equilibrium selection. While selecting the most…

In game theory, mechanism design is concerned with the design of incentives so that a desired outcome of the game can be achieved. In this paper, we explore the concept of equilibrium design, where incentives are designed to obtain a…

In this paper, we consider discrete-time dynamic games of the mean-field type with a finite number $N$ of agents subject to an infinite-horizon discounted-cost optimality criterion. The state space of each agent is a locally compact Polish…

We study the problem of optimal portfolio selection under stochastic volatility within a continuous time reinforcement learning framework with portfolio constraints. Exploration is modeled through entropy-regularized relaxed controls, where…

A principal continually decides whether to approve resource allocations to an agent, who exerts private effort to remain eligible. The principal must perform costly inspections to determine the agent's eligibility. We characterize Markov…

This paper studies a class of strongly monotone games involving non-cooperative agents that optimize their own time-varying cost functions. We assume that the agents can observe other agents' historical actions and choose actions that best…

Commonly in reinforcement learning (RL), rewards are discounted over time using an exponential function to model time preference, thereby bounding the expected long-term reward. In contrast, in economics and psychology, it has been shown…

We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that…

We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach…

We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…

Canonical models of Markov decision processes (MDPs) usually consider geometric discounting based on a constant discount factor. While this standard modeling approach has led to many elegant results, some recent studies indicate the…

We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market…