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In this paper we extend the framework of evolutionary inspection game put forward recently by the author and coworkers to a large class of conflict interactions dealing with the pressure executed by the major player (or principal) on the…
For the iterated Prisoner's Dilemma, there exist Markov strategies which solve the problem when we restrict attention to the long term average payoff. When used by both players these assure the cooperative payoff for each of them. Neither…
A stochastic model for a mobile network is studied. Users enter the network, and then perform independent Markovian routes between nodes where they receive service according to the Processor-Sharing policy. Once their service requirement is…
We consider a population of agents competing for finite resources using strategies based on two channels of signals. The model is applicable to financial markets, ecosystems and computer networks. We find that the dynamics of the system is…
We study the role and drivers of persistence in the extensive margin of bilateral trade. Motivated by a stylized heterogeneous firms model of international trade with market entry costs, we consider dynamic three-way fixed effects binary…
In this paper we present results and analyses of a class of games in which heterogeneous agents are rewarded for being in a minority group. Each agent possesses a number of fixed strategies each of which are predictors of the next minority…
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that…
We consider a network of coupled agents playing the Prisoner's Dilemma game, in which players are allowed to pick a strategy in the interval [0,1], with 0 corresponding to defection, 1 to cooperation, and intermediate values representing…
Learning problems commonly exhibit an interesting feedback mechanism wherein the population data reacts to competing decision makers' actions. This paper formulates a new game theoretic framework for this phenomenon, called "multi-player…
In this paper, we model a decision-making process involving a set of interacting agents. We use Markovian opinion dynamics, where each agent switches between decisions according to a continuous time Markov chain. Existing opinion dynamics…
Monotonicity and recursivity are central assumptions in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit both a recursive and an ex-ante representation, and that the certainty equivalent…
In coordination games and speculative over-the-counter financial markets, solutions depend on higher-order average expectations: agents' expectations about what counterparties, on average, expect their counterparties to think, etc. We offer…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
We examine a patient player's behavior when he can build reputations in front of a sequence of myopic opponents. With positive probability, the patient player is a commitment type who plays his Stackelberg action in every period. We…
The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a…
Stochastic multiplicative dynamics characterize many complex natural phenomena such as selection and mutation in evolving populations, and the generation and distribution of wealth within social systems. Population heterogeneity in…
A Markovian model of the evolution of intermittent connections of various classes in a communication network is established and investigated. Any connection evolves in a way which depends only on its class and the state of the network, in…
Evolutionary Prisoner's Dilemma games with quenched inhomogeneities in the spatial dynamical rules are considered. The players following one of the two pure strategies (cooperation or defection) are distributed on a two-dimensional lattice.…
We study a reaction-diffusion equation with an integral term describing nonlocal consumption of resources. We show that a homogeneous equilibrium can lose its stability resulting in appearance of stationary spatial structures. It is a new…
We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of…