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We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the core hold a bubbly asset. The banks in the periphery have not…
Trust lies at the crux of most economic transactions, with credit markets being a notable example. Drawing on insights from the literature on coordination games and network growth, we develop a simple model to clarify how trust breaks down…
Understanding temporal and causal relations between events is a fundamental natural language understanding task. Because a cause must be before its effect in time, temporal and causal relations are closely related and one relation even…
Negotiations, a model of concurrency with multi party negotiation as primitive, have been recently introduced by J. Desel and J. Esparza. We initiate the study of games for this model. We study coalition problems: can a given coalition of…
In this paper, we study the long time behavior of an optimal liquidation problem with semimartingale strategies and external flows. To investigate the limit rigorously, we study the convergence of three BSDEs characterizing the value…
We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define several notions of randomness associated with interval, rather than precise,…
We consider the pricing and hedging of exotic options in a model-independent set-up using \emph{shortfall risk and quantiles}. We assume that the marginal distributions at certain times are given. This is tantamount to calibrating the model…
Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical setting, the number of players is large but fixed throughout…
We introduce a formalism modelling communication of distributed agents strictly in continuous-time. Within this framework, we study the problem of synthesising local strategies for individual agents such that a specified set of goal states…
This paper addresses a mathematically tractable model of the Prisoner's Dilemma using the framework of active inference. In this work, we design pairs of Bayesian agents that are tracking the joint game state of their and their opponent's…
An important issue in concurrency is interference. This issue manifests itself in both shared-variable and communication-based concurrency --- this paper focusses on the former case where interference is caused by the environment of a…
Large parts of professional human communication proceed in a request-reply fashion, whereby requests contain specifics of the information desired while replies can deliver the required information. However, time limitations often force…
A notion of pi-tolerant equilibrium is defined that takes into account that players have some tolerance regarding payoffs in a game. This solution concept generalizes Nash and refines epsilon-Nash equilibrium in a natural way. We show that…
The problem of convergence in law of normed sums of exchangeable random variables is examined. First, the problem is studied w.r.t. arrays of exchangeable random variables, and the special role played by mixtures of products of stable laws…
Our purpose is to give an account of the $r$-tuple problem on the increasing sequence of reduced fractions having denominators bounded by a certain size and belonging to a fixed real interval. We show that when the size grows to infinity,…
We derive the arbitrage gains or, equivalently, Loss Versus Rebalancing (LVR) for arbitrage between \textit{two imperfectly liquid} markets, extending prior work that assumes the existence of an infinitely liquid reference market. Our…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…
In this paper we study the problem of predictability in partially observable discrete event systems, i.e., the question whether an observer can predict the occurrence of a fault. We extend the definition of predictability to consider the…
Financial volatility risk and its relation to a business cycle-related intrinsic time is addressed through a multiple round evolutionary quantum game equilibrium leading to turbulence and multifractal signatures in the financial returns and…