Related papers: Strategic Growth with Recursive Preferences: Decre…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
Spatial evolutionary games provide a valuable framework for elucidating the emergence and maintenance of cooperative behavior. However, most previous studies assume that individuals are profiteers and neglect to consider the effects of…
We study learning by privately informed forward-looking agents in a simple repeated-action setting of social learning. Under a symmetric signal structure, forward-looking agents behave myopically for any degrees of patience. Myopic…
We investigate the benefits of heterogeneity in multi-agent explore-exploit decision making where the goal of the agents is to maximize cumulative group reward. To do so we study a class of distributed stochastic bandit problems in which…
An analytical treatment of a simple opinion model with contrarian behavior is presented. The focus is on the stationary dynamics of the model and in particular on the effect of inhomogeneities in the interaction topology on the stationary…
The minority model was introduced to study the competition between agents with limited information. It has the remarkable feature that, as the amount of information available increases, the collective gain made by the agents is reduced.…
Markovian processes have long been used to model stochastic environments. Reinforcement learning has emerged as a framework to solve sequential planning and decision-making problems in such environments. In recent years, attempts were made…
We study a prototypical non-polynomial decision-making model for which agents in a population potentially alternate between two consumption strategies, one related to the exploitation of an unlimited but considerably expensive resource and…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
This study investigates the functioning of modern payment systems through the lens of banks' maturity mismatch practices, and it examines the effects of banks' refusal to roll over short-term interbank liabilities on financial stability.…
We study two agent based models of opinion formation - one stochastic in nature and one deterministic. Both models are defined in terms of an underlying graph; we study how the structure of the graph affects the long time behavior of the…
We study stable matchings that are robust to preference changes in the two-sided stable matching setting of Gale and Shapley [GS62]. Given two instances $A$ and $B$ on the same set of agents, a matching is said to be robust if it is stable…
We investigate multi-round team competitions between two teams, where each team selects one of its players simultaneously in each round and each player can play at most once. The competition defines an extensive-form game with perfect…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…
In this paper, we consider a first-order mean field game model motivated by crowd motion in which agents evolve in a (not necessarily compact) metric space and wish to reach a given target set. Each agent aims to minimize the sum of their…
In this paper, we examine the long-run behavior of regularized, no-regret learning in finite games. A well-known result in the field states that the empirical frequencies of no-regret play converge to the game's set of coarse correlated…
The majority game, modelling a system of heterogeneous agents trying to behave in a similar way, is introduced and studied using methods of statistical mechanics. The stationary states of the game are given by the (local) minima of a…
In this paper, we propose a statistical aggregation method for agent-based models with heterogeneous agents that interact both locally on a complex adaptive network and globally on a market. The method combines three approaches from…
Models for cross-sectional network data have become increasingly well-developed in recent decades, and are widely used. This has led to a growing interest in the connection between such cross-sectional models and the behavioral processes…