Related papers: Time-consistent stopping under decreasing impatien…
We investigate the interior turnpike phenomenon for discrete-time multi-agent optimal control problems. While for continuous systems the turnpike property has been established, we focus here on first-order discretizations of such systems.…
Static stability in economic models means negative incentives for deviation from equilibrium strategies, which we expect to assure a return to equilibrium, i.e., dynamic stability, as long as agents respond to incentives. There have been…
We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become…
We propose a simple model that describes the dynamics of efficiencies of competing agents. Agents communicate leading to increase of efficiencies of underachievers, and an efficiency of each agent can increase or decrease irrespectively of…
Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…
In decentralized stochastic control (or stochastic team theory) and game theory, if there is a pre-defined order in a system in which agents act, the system is called \textit{sequential}, otherwise it is non-sequential. Much of the…
In this paper, we study the optimal stopping problem in the so-called exploratory framework, in which the agent takes actions randomly conditioning on current state and an entropy-regularized term is added to the reward functional. Such a…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
We study the design of decision-making mechanism for resource allocations over a multi-agent system in a dynamic environment. Agents' privately observed preference over resources evolves over time and the population is dynamic due to the…
We propose a learning dynamics to model how strategic agents repeatedly play a continuous game while relying on an information platform to learn an unknown payoff-relevant parameter. In each time step, the platform updates a belief estimate…
We present a dynamical many-body theory of money in which the value of money is a time dependent ``strategic variable'' that is chosen by the individual agents. The value of money in equilibrium is not fixed by the equations, and thus…
We consider the interaction among agents engaging in a driving task and we model it as general-sum game. This class of games exhibits a plurality of different equilibria posing the issue of equilibrium selection. While selecting the most…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
Suboptimal methods in optimal control arise due to a limited computational budget, unknown system dynamics, or a short prediction window among other reasons. Although these methods are ubiquitous, their transient performance remains…
We analyze the stability of general nonlinear discrete-time stochastic systems controlled by optimal inputs that minimize an infinite-horizon discounted cost. Under a novel stochastic formulation of cost-controllability and detectability…
Traditional solvable game theory and mean-field-type game theory (risk-aware games) predominantly focus on quadratic costs due to their analytical tractability. Nevertheless, they often fail to capture critical non-linearities inherent in…
In this paper, we study asynchronous consensus problems of continuous-time multi-agent systems with discontinuous information transmission. The proposed consensus control strategy is implemented only based on the state information at some…
Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for…
This paper studies a discrete-time major-minor mean field game of stopping where the major player can choose either an optimal control or stopping time. We look for the relaxed equilibrium as a randomized stopping policy, which is…