Related papers: Systemic Risk and Interbank Lending
In stochastic dynamic games, when the number of players is sufficiently large and the interactions between agents depend on empirical state distribution, one way to approximate the original game is to introduce infinite-population limit of…
We consider a nonzero-sum N-player Markov game on an abstract measurable state space with compact metric action spaces. The payoff functions are bounded Carath\'eodory functions and the transitions of the system are assumed to have a…
Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players…
In a probabilistic mean-field game driven by a linear diffusion an individual player aims to minimize an ergodic long-run cost by controlling the diffusion through a pair of -- increasing and decreasing -- c\`adl\`ag processes, while he is…
We motivate and propose a new model for non-cooperative Markov game which considers the interactions of risk-aware players. This model characterizes the time-consistent dynamic "risk" from both stochastic state transitions (inherent to the…
We develop a model for the evolution of wealth in a non-conservative economic environment, extending a theory developed earlier by the authors. The model considers a system of rational agents interacting in a game theoretical framework.…
This paper deals with an extension of the concept of correlated strategies to Markov stopping games. The Nash equilibrium approach to solving nonzero-sum stopping games may give multiple solutions. An arbitrator can suggest to each player…
We study discrete-time mean-field Markov games with infinite numbers of agents where each agent aims to minimize its ergodic cost. We consider the setting where the agents have identical linear state transitions and quadratic cost…
This paper focuses on multi-agent stochastic differential games for jump-diffusion systems. On one hand, we study the multi-agent game for optimal investment in a jump-diffusion market. We derive constant Nash equilibria and provide…
We formulate the MFG limit for $N$ interacting agents with a common noise as a single quasi-linear deterministic infinite-dimensional partial differential second order backward equation. We prove that any its (regular enough) solution…
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short…
We consider existence and uniqueness of Nash equilibria in an $N$-player game of utility maximization under relative performance criteria of multiplicative form in complete semimartingale markets. For a large class of players' utility…
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…
We introduce the problem of groundwater trading, capturing the emergent groundwater market setups among stakeholders in a given groundwater basin. The agents optimize their production, taking into account their available water rights, the…
In single-agent Markov decision processes, an agent can optimize its policy based on the interaction with environment. In multi-player Markov games (MGs), however, the interaction is non-stationary due to the behaviors of other players, so…
We study a dynamical system defined by a repeated game on a 1D lattice, in which the players keep track of their gross payoffs over time in a bank. Strategy updates are governed by a Boltzmann distribution which depends on the neighborhood…
In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a financial market consisting of a risk-free asset and a risky…
The game-theoretic risk management framework put forth in the precursor reports "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) and "Algorithms to Compute Nash-Equilibria in Games…
Precise description of population game dynamics introduced by revision protocols - an economic model describing the agent's propensity to switch to a better-performing strategy - is of importance in economics and social sciences in general.…
We study the game modification problem, where a benevolent game designer or a malevolent adversary modifies the reward function of a zero-sum Markov game so that a target deterministic or stochastic policy profile becomes the unique Markov…