Related papers: Cycling in stochastic general equilibrium
We consider two classes of constrained finite state-action stochastic games. First, we consider a two player nonzero sum single controller constrained stochastic game with both average and discounted cost criterion. We consider the same…
This survey is organized around three main topics: models, econometrics, and empirical applications. Section 2 presents the theoretical framework, introduces the concept of Markov Perfect Nash Equilibrium, discusses existence and…
In this paper, we address the challenge of Nash equilibrium (NE) seeking in non-cooperative convex games with partial-decision information. We propose a distributed algorithm, where each agent refines its strategy through projected-gradient…
Athey and Segal introduced an efficient budget-balanced mechanism for a dynamic stochastic model with quasilinear payoffs and private values, using the solution concept of perfect Bayesian equilibrium. We show that this implementation is…
One could observe drastically different dynamics of zero-sum and non-zero-sum games under replicator equations. In zero-sum games, heteroclinic cycles naturally occur whenever the species of the population supersede each other in a cyclic…
We give an introduction to phase transitions in the steady states of systems that evolve stochastically with equilibrium and nonequilibrium dynamics, the latter defined as those that do not possess a time-reversal symmetry. We try as much…
This paper investigates leader-follower linear-quadratic stochastic graphon games, which consist of a single leader and a continuum of followers. The state equations of the followers interact through graphon coupling terms, with their…
We consider generalized Nash equilibrium problems (GNEPs) with linear coupling constraints affected by both local (i.e., agent-wise) and global (i.e., shared resources) disturbances taking values in polyhedral uncertainty sets. By making…
We introduce a new methodology that enables detection of the onset of convergence towards Nash equilibria in simple repeated games with infinitely large strategy spaces, thereby revealing the heuristics used in decision-making. The method…
One of the natural objectives of the field of the social networks is to predict agents' behaviour. To better understand the spread of various products through a social network arXiv:1105.2434 introduced a threshold model, in which the nodes…
Differential equations (DEs) are commonly used to describe dynamic systems evolving in one (ordinary differential equations or ODEs) or in more than one dimensions (partial differential equations or PDEs). In real data applications the…
Linear stochastic models and discretized kinetic theory are two complementary analytical techniques used for the investigation of complex systems of economic interactions. The former employ Langevin equations, with an emphasis on stock…
In this paper, we study the dynamic behavior of Hedge, a well-known algorithm in theoretical machine learning and algorithmic game theory. The empirical average (arithmetic mean) of the iterates Hedge generates is known to converge to a…
Stochastic differential games have been used extensively to model agents' competitions in Finance, for instance, in P2P lending platforms from the Fintech industry, the banking system for systemic risk, and insurance markets. The recently…
This paper develops a strategic model of trade between two regions in which, depending on the relation among output, financial resources and transportation costs, the adjustment of prices towards an equilibrium is studied. We derive…
Cyclic (rock-paper-scissors-type) population models serve to mimic complex species interactions. Focusing on a paradigmatic three-species model with mutations in one dimension, we observe an interplay between equilibrium and non-equilibrium…
We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market parameters, including volatility and drift, are allowed to…
We study the dynamics of a continuous-time model of the Stochastic Gradient Descent (SGD) for the least-square problem. Indeed, pursuing the work of Li et al. (2019), we analyze Stochastic Differential Equations (SDEs) that model SGD either…
We consider the problem of computing a mixed-strategy generalized Nash equilibrium (MS-GNE) for a class of games where each agent has both continuous and integer decision variables. Specifically, we propose a novel Bregman…
Many models from a variety of areas involve the computation of an equilibrium or fixed point of some kind. Examples include Nash equilibria in games; market equilibria; computing optimal strategies and the values of competitive games…