Related papers: Incomplete stochastic equilibria for dynamic monet…
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
We introduce the notion of non-monotone utilities, which covers a wide variety of utility functions in economic theory. We then prove that it is PPAD-hard to compute an approximate Arrow-Debreu market equilibrium in markets with linear and…
This paper addresses the continuous-time portfolio selection problem under generalized disappointment aversion (GDA). The implicit definition of the certainty equivalent within GDA preferences introduces time inconsistency to this problem.…
We investigate the uniform reshuffling model for money exchanges: two agents picked uniformly at random redistribute their dollars between them. This stochastic dynamics is of mean-field type and eventually leads to a exponential…
We consider both discrete and continuous time finite state-action stochastic games. In discrete time stochastic games, it is known that a stationary Blackwell-Nash equilibrium (BNE) exists for a single controller additive reward (SC-AR)…
We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard backward SDEs and establish its well-posedness, and we show…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
We study networks of interacting queues governed by utility-maximising service-rate allocations in both discrete and continuous time. For {\em finite} networks we establish stability and some steady-state moment bounds under natural…
We consider two sided matching markets consisting of agents with non-transferable utilities; agents from the opposite sides form matching pairs (e.g., buyers-sellers) and negotiate the terms of their math which may include a monetary…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, where our parametrization of perturbations allows for joint…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
In this work, we investigate a biased dollar exchange model with collective debt limit, in which agents picked at random (with a rate depending on the amount of dollars they have) give at random time a dollar to another agent being picked…
Mean field games formalize dynamic games with a continuum of players and explicit interaction where the players can have heterogeneous states. As they additionally yield approximate equilibria of corresponding $N$-player games, they are of…
In many sharing-economy applications, as well as in conventional economy applications, one wishes to regulate the behaviour of an ensemble of agents with guarantees on both the regulation of the ensemble in aggregate and the revenue or…
We study multidimensional mechanism design in a common scenario where players have private information about their willingness to pay and their ability to pay. We provide a complete characterization of dominant-strategy incentive-compatible…
The exponential stability, in both mean square and almost sure senses, for energy solutions to a class of nonlinear and non-autonomous stochastic PDEs with finite memory is investigated. Various criteria for stability are obtained. An…
This paper considers a continuous time Kyle-Back model which is a game problem between an insider and a market marker. The existing literature typically focuses on the existence of equilibrium by using the PDE approach, which requires…
We study two stylized, multi-agent models aimed at investing a limited, indivisible resource in public transportation. In the first model, we face the decision of which potential stops to open along a (e.g., bus) path, given agents' travel…