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While the classic Vickrey-Clarke-Groves mechanism ensures incentive compatibility for a static one-shot game, it does not appear to be feasible to construct a dominant truth-telling mechanism for agents that are stochastic dynamic systems.…
Ergodicity describes an equivalence between the expectation value and the time average of observables. Applied to human behaviour, ergodic theories of decision-making reveal how individuals should tolerate risk in different environments. To…
The modernization of the power system introduces technologies that may improve the system's efficiency by enhancing the capabilities of users. Despite their potential benefits, such technologies can have a negative impact. This subject has…
Exploration in reinforcement learning (RL) remains an open challenge. RL algorithms rely on observing rewards to train the agent, and if informative rewards are sparse the agent learns slowly or may not learn at all. To improve exploration…
Many markets rely on traders truthfully communicating who has cheated in the past and ostracizing those traders from future trade. This paper investigates when truthful communication is incentive compatible. We find that if each side has a…
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…
Information that is of relevance for decision-making is often distributed, and held by self-interested agents. Decision markets are well-suited mechanisms to elicit such information and aggregate it into conditional forecasts that can be…
With recent development of artificial intelligence, it is more common to adopt AI agents in economic activities. This paper explores the economic actions of agents, including human agents and AI agents, in an economic game of trading…
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of…
Envy-freeness up to any good (EFX) provides a strong and intuitive guarantee of fairness in the allocation of indivisible goods. But whether such allocations always exist or whether they can be efficiently computed remains an important open…
When users lack specific knowledge of various system parameters, their uncertainty may lead them to make undesirable deviations in their decision making. To alleviate this, an informed system operator may elect to signal information to…
We study a heterogeneous agent macroeconomic model with an infinite number of households and firms competing in a labor market. Each household earns income and engages in consumption at each time step while aiming to maximize a concave…
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are…
Market-based instruments such as payments, auctions or tradable permits have been proposed as flexible and cost-effective instruments for biodiversity conservation on private lands. Trading the service of conservation requires one to define…
One attractive approach to market dynamics is the level $k$ model in which a level $0$ player adopts a very simple response to current conditions, a level $1$ player best-responds to a model in which others take level $0$ actions, and so…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
Two-sided matching markets have long existed to pair agents in the absence of regulated exchanges. A common example is school choice, where a matching mechanism uses student and school preferences to assign students to schools. In such…
We consider the impact of fairness requirements on the social efficiency of truthful mechanisms for trade, focusing on Bayesian bilateral-trade settings. Unlike the full information case in which all gains-from-trade can be realized and…
We study systems of interacting reinforced stochastic processes, where agents' decisions evolve under reinforcement, network-mediated interactions, and environmental influences. In competitive environments with irreducible networks, we…
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…