Related papers: Systemic Risk and Interbank Lending

An important task in the analysis of multiagent systems is to understand how groups of selfish players can form coalitions, i.e., work together in teams. In this paper, we study the dynamics of coalition formation under bounded rationality.…

In this article we consider zero and non-zero sum risk-sensitive average criterion games for semi-Markov processes with a finite state space. For the zero-sum case, under suitable assumptions we show that the game has a value. We also…

We propose a framework for two-player infinite-dimensional games with cooperative or competitive structure. These games take the form of coupled partial differential equations in which players optimize over a space of measures, driven by…

We consider a general class of nonzero-sum $N$-player stochastic games with impulse controls, where players control the underlying dynamics with discrete interventions. We adopt a verification approach and provide sufficient conditions for…

This paper studies the finite-time horizon Markov games where the agents' dynamics are decoupled but the rewards can possibly be coupled across agents. The policy class is restricted to local policies where agents make decisions using their…

Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…

This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a…

A supermarket game is considered with $N$ FCFS queues with unit exponential service rate and global Poisson arrival rate $N \lambda$. Upon arrival each customer chooses a number of queues to be sampled uniformly at random and joins the…

We study competitive resource allocation problems in which players distribute their demands integrally on a set of resources subject to player-specific submodular capacity constraints. Each player has to pay for each unit of demand a cost…

This paper analyzes the structure of mixed-strategy equilibria for Colonel Blotto games, where the outcome on each battlefield is a polynomial function of the difference between the two players' allocations. This paper severely reduces the…

The theory of mean field games aims at studying deterministic or stochastic differential games (Nash equilibria) as the number of agents tends to infinity. Since very few mean field games have explicit or semi-explicit solutions, numerical…

A growing line of work reframes preference-based fine-tuning of large language models game-theoretically: Nash Learning from Human Feedback (NLHF) recasts the problem as a zero-sum game over policies. However, optimization is over expected…

We study stochastic mean-field games among finite number of teams with large finite as well as infinite number of decision makers. For this class of games within static and dynamic settings, we establish the existence of a Nash equilibrium,…

In this paper, we investigate Nash-regret minimization in congestion games, a class of games with benign theoretical structure and broad real-world applications. We first propose a centralized algorithm based on the optimism in the face of…

Multiplayer games with selfish agents naturally occur in the design of distributed and embedded systems. As the goals of selfish agents are usually neither equivalent nor antagonistic to each other, such games are non zero-sum games. We…

The infinite horizon risk-sensitive discounted-cost and ergodic-cost nonzero-sum stochastic games for controlled Markov chains with countably many states are analyzed. For the discounted-cost game, we prove the existence of Nash equilibrium…

Generating payoff matrices of normal-form games at random, we calculate the frequency of games with a unique pure strategy Nash equilibrium in the ensemble of $n$-player, $m$-strategy games. These are perfectly predictable as they must…

This work is mainly concerned with the so-called limit theory for mean-field games. Adopting the weak formulation paradigm put forward by Carmona and Lacker, we consider a fully non-Markovian setting allowing for drift control and…

The Lucas-Moll system is a mean-field game type model describing the growth of an economy by means of diffusion of knowledge. The individual agents in the economy advance their knowledge by learning from each other and via internal…

Consensus formation in a social network is modeled by a dynamic game of a prescribed duration played by members of the network. Each member independently minimizes a cost function that represents his/her motive. An integral cost function…