Related papers: On risk averse competitive equilibrium
We consider a symmetric two-player contest, in which the choice set of effort is constrained. We apply a fundamental property of the payoff function to show that, under standard assumptions, there exists a unique Nash equilibrium in pure…
We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…
We consider continuous-time consensus seeking systems whose time-dependent interactions are cut-balanced, in the following sense: if a group of agents influences the remaining ones, the former group is also influenced by the remaining ones…
In a dynamic matching market, such as a marriage or job market, how should agents balance accepting a proposed match with the cost of continuing their search? We consider this problem in a discrete setting, in which agents have cardinal…
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…
Multistage risk-averse optimal control problems with nested conditional risk mappings are gaining popularity in various application domains. Risk-averse formulations interpolate between the classical expectation-based stochastic and minimax…
A growing body of literature in networked systems research relies on game theory and mechanism design to model and address the potential lack of cooperation between self-interested users. Most game-theoretic models applied to system…
We investigate a novel approach to resilient distributed optimization with quadratic costs in a multi-agent system prone to unexpected events that make some agents misbehave. In contrast to commonly adopted filtering strategies, we draw…
In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…
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…
In this paper we study the existence and uniqueness of Nash equilibria (solution to competition-wise problems, with several controls trying to reach possibly different goals) associated to linear partial differential equations and show…
The application of Reinforcement Learning (RL) to economic modeling reveals a fundamental conflict between the assumptions of equilibrium theory and the emergent behavior of learning agents. While canonical economic models assume atomistic…
We have used agent-based modeling as our numerical method to artificially simulate a dynamic real economy where agents are rational maximizers of an objective function of Cobb-Douglas type. The economy is characterised by heterogeneous…
Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…
We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck…
We argue that models coming from a variety of fields, such as matching models and discrete choice models among others, share a common structure that we call matching function equilibria with partial assignment. This structure includes an…
In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…
Is there an equilibrium for distributed consensus when all agents except one collude to steer the decision value towards their preference? If an equilibrium exists, then an $n-1$ size coalition cannot do better by deviating from the…
In this paper I discuss truthful equilibria in common agency models. Specifically, I provide general conditions under which truthful equilibria are plausible, easy to calculate and efficient. These conditions generalize similar results in…
We introduce a way to compare actions in decision problems. One action is safer than another if the set of beliefs at which the decision-maker prefers the safer action expands as the decision-maker becomes more risk averse. We provide a…