Related papers: An economic game with stochastic dynamics
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…
The method of Lyapunov functions is one of the most effective ones for the investigation of stability of dynamical systems, in particular, of stochastic differential systems. The main purpose of the paper is the analysis of the stability of…
This article is concerned with stability analysis and stabilization of randomly switched systems under a class of switching signals. The switching signal is modeled as a jump stochastic (not necessarily Markovian) process independent of the…
We introduce a method for learning provably stable deep neural network based dynamic models from observed data. Specifically, we consider discrete-time stochastic dynamic models, as they are of particular interest in practical applications…
This paper provides a mathematical study of the well-posedness of master equation on finite state space involving terms modelling common noise. In this setting, the solution of the master equation depends on an additional variable modelling…
This paper considers a class of reinforcement-based learning (namely, perturbed learning automata) and provides a stochastic-stability analysis in repeatedly-played, positive-utility, finite strategic-form games. Prior work in this class of…
Considering stationary states of continuous-variable systems undergoing an open dynamics, we unveil the connection between properties and symmetries of the latter and the dynamical parameters. In particular, we explore the relation between…
Stochastic differential games are considered in a non-Markovian setting. Typically, in stochastic differential games the modulating process of the diffusion equation describing the state flow is taken to be Markovian. Then Nash equilibria…
A stochastic model for behavioral changes by imitative pair interactions of individuals is developed. `Microscopic' assumptions on the specific form of the imitative processes lead to a stochastic version of the game dynamical equations.…
This paper considers mean field games in a multi-agent Markov decision process (MDP) framework. Each player has a continuum state and binary action, and benefits from the improvement of the condition of the overall population. Based on an…
Motivated by the scarcity of accurate payoff feedback in practical applications of game theory, we examine a class of learning dynamics where players adjust their choices based on past payoff observations that are subject to noise and…
This article is concerned with stability analysis and stabilization of randomly switched nonlinear systems. These systems may be regarded as piecewise deterministic stochastic systems: the discrete switches are triggered by a stochastic…
This paper presents a nonlinear model predictive control strategy for stochastic systems with general (state and input dependent) disturbances subject to chance constraints. Our approach uses an online computed stochastic tube to ensure…
We investigate the dynamics close to a homogeneous stationary state of Vlasov equation in one dimension, in presence of a small dissipation modeled by a Fokker-Planck operator. When the stationary state is stable, we show the stochastic…
One of the proposed solutions to the equilibrium selection problem for agents learning in repeated games is obtained via the notion of stochastic stability. Learning algorithms are perturbed so that the Markov chain underlying the learning…
Animal behavior and evolution can often be described by game-theoretic models. Although in many situations, the number of players is very large, their strategic interactions are usually decomposed into a sum of two-player games. Only…
In this paper, we analyze the use of the Ornstein-Uhlenbeck process to model dynamical systems subjected to bounded noisy perturbations. In order to discuss the main characteristics of this new approach we consider some basic models in…
We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical…
We study a system whose dynamics are governed by predictions of its future states. A general formalism and concrete examples are presented. We find that the dynamical characteristics depend on how to shape the predictions as well as on how…
Static and dynamic equilibria in noisy binary choice (Ising) games on complete and random graphs in the annealed approximation are analysed. Two versions, an Ising game with interaction term defined in accordance with the Ising model in…