Related papers: Scale invariance versus translation variance in Na…

We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…

We consider the problem of locating a facility to serve a set of agents located along a line. The Nash welfare objective function, defined as the product of the agents' utilities, is known to provide a compromise between fairness and…

We consider a general problem of the calculus of variations on time scales with a cost functional that is the composition of a certain scalar function with delta and nabla integrals of a vector valued field. Euler-Lagrange delta-nabla…

We consider a variant of online convex optimization in which both the instances (input vectors) and the comparator (weight vector) are unconstrained. We exploit a natural scale invariance symmetry in our unconstrained setting: the…

Unrestricted mutation of shared state is a source of many well-known problems. The predominant safe solutions are pure functional programming, which bans mutation outright, and flow sensitive type systems, which depend on sophisticated…

The problem of robust dynamic pricing of an abstract commodity, whose inventory is specified at an initial time but never subsequently replenished, originally studied by Perakis and Sood (2006) in discrete time, is considered from the…

The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications…

We explore stability and fairness considerations in decentralized networked markets with bilateral contracts, building on the trading networks framework [Hatfield et al., 2013]. In our trading network game, we show that a well-defined…

We consider the task of assigning indivisible goods to a set of agents in a fair manner. Our notion of fairness is Nash social welfare, i.e., the goal is to maximize the geometric mean of the utilities of the agents. Each good comes in…

Game theory provides a well-established framework for the analysis of concurrent and multi-agent systems. The basic idea is that concurrent processes (agents) can be understood as corresponding to players in a game; plays represent the…

The Herglotz problem is a generalization of the fundamental problem of the calculus of variations. In this paper, we consider a class of non-differentiable functions, where the dynamics is described by a scale derivative. Necessary…

Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…

We study optimal transport-based distributionally robust optimization problems where a fictitious adversary, often envisioned as nature, can choose the distribution of the uncertain problem parameters by reshaping a prescribed reference…

We consider the discretized Bachelier model where hedging is done on an equidistant set of times. Exponential utility indifference prices are studied for path-dependent European options and we compute their non-trivial scaling limit for a…

In this paper we introduce a capacity allocation game which models the problem of maximizing network utility from the perspective of distributed noncooperative agents. Motivated by the idea of self-managed networks, in the developed…

This work considers coordination and bargaining between two selfish users over a Gaussian interference channel using game theory. The usual information theoretic approach assumes full cooperation among users for codebook and rate selection.…

Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient…

In uniform-price markets, suppliers compete to supply a resource to consumers, resulting in a single market price determined by their competition. For sufficient flexibility, producers and consumers prefer to commit to a function as their…

We consider a strategic network quantizer design setting where agents must balance fidelity in representing their local source distributions against their ability to successfully communicate with other connected agents. We study the problem…

We study the problem of fairly allocating a set of indivisible goods among agents with additive valuations. The extent of fairness of an allocation is measured by its Nash social welfare, which is the geometric mean of the valuations of the…