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We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which pertained only to risk-averse utility maximizers. The…
Distributed decision making in multi-agent networks has recently attracted significant research attention thanks to its wide applicability, e.g. in the management and optimization of computer networks, power systems, robotic teams, sensor…
We consider continuous-time heterogeneous agent models with recursive utility (Epstein-Zin utility) cast as mean field games, in which agents prefer late resolution of uncertainty. The model leads to a system coupling a pair of…
We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the…
In this paper I present several algorithmic techniques for improving the decision process of multiple types of agents behaving in environments where their interests are in conflict. The interactions between the agents are modelled by using…
One of the proposed solutions to the equilibrium selection problem for agents learning in repeated games is obtained via the notion of stochastic stability. Learning algorithms are perturbed so that the Markov chain underlying the learning…
We study a decision-maker's problem of finding optimal monetary incentive schemes for retention when faced with agents whose participation decisions (stochastically) depend on the incentive they receive. Our focus is on policies constrained…
We analyze the performance of heterogeneous learning agents in asset markets with stochastic payoffs. Our main focus is on comparing Bayesian learners and no-regret learners who compete in markets and identifying the conditions under which…
In this work we review some recent development in the mathematical modelling of quantitative sociology by means of statistical mechanics. After a short pedagogical introduction to static and dynamic properties of many body systems, we…
Strategic classification studies the problem where self-interested individuals or agents manipulate their response to obtain favorable decision outcomes made by classifiers, typically turning to dishonest actions when they are less costly…
We discuss the influence of information contagion on the dynamics of choices in social networks of heterogeneous buyers. Starting from an inhomogeneous cellular automata model of buyers dynamics, we show that when agents try to adjust their…
We propose martingale consumption as a natural, desirable consumption pattern for any given (proportional) investment strategy. The idea is to always adjust current consumption so as to achieve level expected future consumption under the…
People often interact repeatedly: with relatives, through file sharing, in politics, etc. Many such interactions are reciprocal: reacting to the actions of the other. In order to facilitate decisions regarding reciprocal interactions, we…
We study a stochastic model for the diffusion of competing opinions in a population composed of three types of agents: trend-followers, opposers, and indifferent individuals. The decision dynamics are driven by reinforcement mechanisms,…
In multi-agent reinforcement learning (MARL) and game theory, agents repeatedly interact and revise their strategies as new data arrives, producing a sequence of strategy profiles. This paper studies sequences of strategies satisfying a…
We study the problem of a planner who resolves risk-return trade-offs - like financial investment decisions - on behalf of a collective of agents with heterogeneous risk preferences. The planner's objective is a two-stage utility functional…
We investigate the dependence of steady-state properties of Schelling's segregation model on the agents' activation order. Our basic formalism is the Pollicott-Weiss version of Schelling's segregation model. Our main result modifies this…
We consider a version of large population games whose agents compete for resources using strategies with adaptable preferences. The games can be used to model economic markets, ecosystems or distributed control. Diversity of initial…
We study a model in which two players with opposing interests try to alter a status quo through instability-generating actions. We show that instability can be used to secure longer-term durable changes, even if it is costly to generate and…
We discuss the stationary states of a model economy in which $N$ heterogeneous adaptive consumers purchase commodity bundles repeatedly from $P$ sellers. The system undergoes a transition from an inefficient to an efficient state as the…