Related papers: Dynamic Bertrand Oligopoly
We explore the effect of discounting and experimentation in a simple model of interacting adaptive agents. Agents belong to either of two types and each has to decide whether to participate a game or not, the game being profitable when…
In this paper, we consider a network of consumers who are under the combined influence of their neighbors and external influencing entities (the marketers). The consumers' opinion follows a hybrid dynamics whose opinion jumps are due to the…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
In this paper, we propose a numerical methodology for finding the closed-loop Nash equilibrium of stochastic delay differential games through deep learning. These games are prevalent in finance and economics where multi-agent interaction…
We discuss and solve a model for a game with many players, where a subset of truely deciding players is embedded into a hierarchy of dependent agents. These interdependencies modify the game matrix and the Nash equilibria for the deciding…
The paper addresses a problem of sequential bilateral bargaining with incomplete information. We proposed a decision model that helps agents to successfully bargain by performing indirect negotiation and learning the opponent's model.…
We introduce the problem of groundwater trading, capturing the emergent groundwater market setups among stakeholders in a given groundwater basin. The agents optimize their production, taking into account their available water rights, the…
This work is dedicated to the algorithm design in a competitive framework, with the primary goal of learning a stable equilibrium. We consider the dynamic price competition between two firms operating within an opaque marketplace, where…
Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the…
In this note we investigate stochastic Nash equilibrium problems by means of monotone variational inequalities in probabilistic Lebesgue spaces. We apply our approach to a class of oligopolistic market equilibrium problems where the data…
We study the effects of endogenous cost formation in the classic Cournot oligopoly through an extended two-stage game. The competing Cournot firms produce low-cost but limited quantities of a single homogeneous product. For additional…
Nash`s classical bargaining solution suggests that n players in a non-cooperative bargaining situation should find a solution that maximizes the product of each player's utility functions. We consider a special case: Suppose that the…
A multi-player competitive Dynkin stopping game is constructed. Each player can either exit the game for a fixed payoff, determined a priori, or stay and receive an adjusted payoff depending on the decision of other players. The single…
We study a networked economic system composed of $n$ producers supplying a single homogeneous good to a number of geographically separated markets and of a centralized authority, called the market maker. Producers compete \`a la Cournot, by…
We consider an economy made of competing firms which are heterogeneous in their capital and use several inputs for producing goods. Their consumption policy is fixed rationally by maximizing a utility and their capital cannot fall below a…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…
We investigate a spectrum oligopoly where primary users allow secondary access in lieu of financial remuneration. Transmission qualities of the licensed bands fluctuate randomly. Each primary needs to select the price of its channel with…
In this work, we use a Stackelberg infinite discrete-time dynamic game model to study the optimal supply schedule and the optimal demand response under a market-driven dynamic price. A two-layer optimization framework is established. At the…
We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance…
In this paper we study a continuous time equilibrium model of limit order book (LOB) in which the liquidity dynamics follows a non-local, reflected mean-field stochastic differential equation (SDE) with evolving intensity. Generalizing the…