Related papers: Cycling in stochastic general equilibrium
Dynamic stochastic general equilibrium (DSGE) models have been an ubiquitous, and controversial, part of macroeconomics for decades. In this paper, we approach DSGEs purely as statstical models. We do this by applying two common model…
Dynamic Stochastic General Equilibrium (DSGE) models are nowadays a crucial quantitative tool for policy-makers. However, they did not emerge spontaneously. They are built upon previously established ideas in Economics and relatively recent…
This paper considers dynamic (multi-stage) signaling games involving an encoder and a decoder who have subjective models on the cost functions. We consider both Nash (simultaneous-move) and Stackelberg (leader-follower) equilibria of…
This paper investigates stochastic generalized dynamic games with coupling chance constraints, where agents have incomplete information about uncertainties satisfying a concentration of measure property. This problem, in general, is…
We propose a toy model for a stochastic description of the competition between two athletes of unequal strength, whose average strength difference is represented by a parameter $d$. The athletes interact through the choice of their…
We formulate for the first time the economic dispatch problem in an integrated electrical and gas distribution system as a game equilibrium problem between distributed prosumers. Specifically, by approximating the non-linear gas-flow…
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…
A class of nonzero-sum stochastic dynamic games with imperfect information structure is investigated. The game involves an arbitrary number of players, modeled as homogeneous Markov decision processes, aiming to find a sequential Nash…
We study a dynamic game with a large population of players who choose actions from a finite set in continuous time. Each player has a state in a finite state space that evolves stochastically with their actions. A player's reward depends…
We introduce a framework for stochastic games on large sparse graphs, covering continuous-time and discrete-time dynamic games as well as static games. Players are indexed by the vertices of simple, locally finite graphs, allowing both…
A number of macroeconomic theories, very popular in the 1980s, seem to have completely disappeared and been replaced by the dynamic stochastic general equilibrium (DSGE) approach. We will argue that this replacement is due to a tacit…
In this paper, we introduce a novel equilibrium concept, called the equilibrium cycle, which seeks to capture the outcome of oscillatory game dynamics. Unlike the (pure) Nash equilibrium, which defines a fixed point of mutual best…
We consider seeking a Nash equilibrium (NE) of a monotone game, played by dynamic agents which are modeled as a class of lower-triangular nonlinear uncertain dynamics with external disturbances. We establish a general framework that…
Nash equilibrium is used as a model to explain the observed behavior of players in strategic settings. For example, in many empirical applications we observe player behavior, and the problem is to determine if there exist payoffs for the…
We address the problem of mechanism design for two-stage repeated stochastic games -- a novel setting using which many emerging problems in next-generation electricity markets can be readily modeled. Repeated playing affords the players a…
We address the problem of finding conditions which guarantee the existence of open-loop Nash equilibria in discrete time dynamic games (DTDGs). The classical approach to DTDGs involves analyzing the problem using optimal control theory…
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…
Individual behaviors play an essential role in the dynamics of transmission of infectious diseases, including COVID--19. This paper studies a dynamic game model that describes the social distancing behaviors during an epidemic, assuming a…
This paper investigates closed-loop Nash equilibria for discrete-time linear-quadratic (LQ) stochastic nonzero-sum difference games with random coefficients. Unlike existing works, we consider randomness in both state dynamics and cost…
Under what conditions do the behaviors of players, who play a game repeatedly, converge to a Nash equilibrium? If one assumes that the players' behavior is a discrete-time or continuous-time rule whereby the current mixed strategy profile…