Related papers: Systemic Risk and Heterogeneous Mean Field Type In…
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…
The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset fire sales. This paper introduces a financial…
Motivated by the complex dynamics of cooperative and competitive interactions within networked agent systems, multi-cluster games provide a framework for modeling the interconnected goals of self-interested clusters of agents. For this…
In this paper, we investigate a class of nonzero-sum dynamic stochastic games, where players have linear dynamics and quadratic cost functions. The players are coupled in both dynamics and cost through a linear regression (weighted average)…
Computing an equilibrium in congestion games can be challenging when the number of players is large. Yet, it is a problem to be addressed in practice, for instance to forecast the state of the system and be able to control it. In this work,…
We consider multi-agent decision making where each agent optimizes its convex cost function subject to individual and coupling constraints. The constraint sets are compact convex subsets of a Euclidean space. To learn Nash equilibria, we…
In this paper, we study which data can be induced by a correlated equilibrium given a known finite simultaneous move game. We assume that an analyst has access to the frequency of each agent's actions but does not have access to the…
We identify structural assumptions which provide solvability of the Nash system arising from a linear-quadratic closed-loop game, with stable properties with respect to the number of players. In a setting of interactions governed by a…
In this paper, we propose a numerical methodology for finding the closed-loop Nash equilibrium of stochastic delay differential games through deep learning. These games are prevalent in finance and economics where multi-agent interaction…
We investigate the long-run behavior of a stochastic replicator process, which describes game dynamics for a symmetric two-player game under aggregate shocks. We establish an averaging principle that relates time averages of the process and…
This paper is concerned with a new class of mean-field games which involve a finite number of agents. Necessary and sufficient conditions are obtained for the existence of the decentralized open-loop Nash equilibrium in terms of…
This paper analyses two-player nonzero-sum games of optimal stopping on a class of linear regular diffusions with not non-singular boundary behaviour (in the sense of It\^o and McKean (1974), p.\ 108). We provide sufficient conditions under…
We consider network aggregative games to model and study multi-agent populations in which each rational agent is influenced by the aggregate behavior of its neighbors, as specified by an underlying network. Specifically, we examine systems…
The aim of this paper is to formulate and study a stochastic model for the management of environmental assets in a geographical context where in each place the local authorities take their policy decisions maximizing their own welfare,…
In this paper, we study a distributed continuous-time design for aggregative games with coupled constraints in order to seek the generalized Nash equilibrium by a group of agents via simple local information exchange. To solve the problem,…
In this paper, we explore aggregative games over networks of multi-integrator agents with coupled constraints. To reach the general Nash equilibrium of an aggregative game, a distributed strategy-updating rule is proposed by a combination…
We consider a class of Wasserstein distributionally robust Nash equilibrium problems, where agents construct heterogeneous data-driven Wasserstein ambiguity sets using private samples and radii, in line with their individual risk-averse…
A fundamental problem in noncooperative dynamic game theory is the computation of Nash equilibria under different information structures, which specify the information available to each agent during decision-making. Prior work has…
In this work we introduce a model of default contagion that combines the approaches of Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed contagion mechanism provides an endogenous rule for early defaults in…
Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the…