Related papers: Informed Principal Problems in Bilateral Trading
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…
In principal-agent models, a principal offers a contract to an agent to perform a certain task. The agent exerts a level of effort that maximizes her utility. The principal is oblivious to the agent's chosen level of effort, and conditions…
This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified period of time. The second firm to invest gets information…
Modern AI systems increasingly operate inside markets and institutions where data, behavior, and incentives are endogenous. This paper develops an economic foundation for multi-agent learning by studying a principal-agent interaction in a…
Bayesian rationality in strategic games presumes that it is possible to translate strategic uncertainty into imperfect information. Correlated equilibrium is guided by the idea that players are Bayes rational, have a common prior, and…
Bilevel learning refers to machine learning problems that can be formulated as bilevel optimization models, where decisions are organized in a hierarchical structure. This paradigm has recently gained considerable attention in machine…
We study the problem of online learning in competitive settings in the context of two-sided matching markets. In particular, one side of the market, the agents, must learn about their preferences over the other side, the firms, through…
I prove that it is irrational for agents with even slightly private preferences to condition their strategy on private information that is payoff-irrelevant to them, contrary to powerful techniques for analyzing communication and repeated…
This paper examines strategic trading under incomplete information, where firms lack full knowledge of key aspects of their competitors' trading strategies such as target sizes and market impact models. We extend previous work on…
Bilevel programming is one of the very active areas of research with many real-life applications in economics and engineering. Bilevel problems are hierarchical problems consisting of lower-level and upper-level problems, respectively. The…
The iterated prisoner's dilemma is a game that produces many counter-intuitive and complex behaviors in a social environment, based on very simple basic rules. It illustrates that cooperation can be a good thing even in a competitive world,…
We study the revenue-maximizing mechanism when a buyer's value evolves endogenously because of learning-by-consuming. A seller sells one unit of a divisible good, while the buyer relies on his private, rough valuation to choose his…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
We consider a simple simultaneous first price auction for multiple items in a complete information setting. Our goal is to completely characterize the mixed equilibria in this setting, for a simple, yet highly interesting, {\tt AND}-{\tt…
A well-intentioned principal provides information to a rationally inattentive agent without internalizing the agent's cost of processing information. Whatever information the principal makes available, the agent may choose to ignore some.…
When information acquisition is costly but flexible, a principal may rationally acquire information that favors one group over another. The former group faces incentives to invest in becoming productive, while the latter is discouraged from…
We analyze an extended model of the Iterated Prisoner's Dilemma where agents decide to play based on the data from their limited memory or recommendations. The cooperators can decide whether to play with the matched opponent or not. The…
Shapleys impossibility result indicates that the two-person bargaining problem has no non-trivial ordinal solution with the traditional game-theoretic bargaining model. Although the result is no longer true for bargaining problems with more…
We study the problem of exchange when 1) agents are endowed with heterogeneous indivisible objects, and 2) there is no money. In general, no rule satisfies the three central properties Pareto-efficiency, individual rationality, and…
It is well known that machine learning methods can be vulnerable to adversarially-chosen perturbations of their inputs. Despite significant progress in the area, foundational open problems remain. In this paper, we address several key…