Related papers: Systemic Risk and Heterogeneous Mean Field Type In…
This paper aims to systematically solve stochastic team optimization of large-scale system, in a rather general framework. Concretely, the underlying large-scale system involves considerable weakly-coupled cooperative agents for which the…
We consider payoff-based learning of a generalized Nash equilibrium (GNE) in multi-agent systems. Our focus is on games with jointly convex constraints of a linear structure and strongly monotone pseudo-gradients. We present a convergent…
We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
This paper studies discrete-time two-person nonzero-sum linear quadratic stochastic games with random coefficients. Using convex variational analysis, we derive necessary and sufficient conditions for the existence of open-loop Nash…
We consider a stochastic tournament game in which each player is rewarded based on her rank in terms of the completion time of her own task and is subject to cost of effort. When players are homogeneous and the rewards are purely rank…
Motivated by game-theoretic models of crowd motion dynamics, this paper analyzes a broad class of distributed games with jump diffusions within the recently developed $\alpha$-potential game framework. We demonstrate that analyzing the…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
We present a fully-distributed algorithm for Nash equilibrium seeking in aggregative games over networks. The proposed scheme endows each agent with a gradient-based scheme equipped with a tracking mechanism to locally reconstruct the…
We consider a class of dynamic collective choice models with social interactions, whereby a large number of non-uniform agents have to individually settle on one of multiple discrete alternative choices, with the relevance of their would-be…
We consider a dynamic model of interconnected banks. New banks can emerge, and existing banks can default, creating a birth-and-death setup. Microscopically, banks evolve as independent geometric Brownian motions. Systemic effects are…
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of…
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium…
In a previous paper, we applied a field formalism to analyze capital allocation and accumulation within a microeconomic framework of investors and firms. The financial connections were modeled by a field of stakes, representing the links…
In this study, we investigate $N$-player stochastic differential games with regime switching, where the player dynamics are modulated by a finite-state Markov chain. We analyze the associated Nash system, which consists of a system of…
The use of game theoretic models has been quite successful in describing various cooperative and non-cooperative optimization problems in networks and other domains of computer systems. In this paper, we study an application of game…
We consider two classes of constrained finite state-action stochastic games. First, we consider a two player nonzero sum single controller constrained stochastic game with both average and discounted cost criterion. We consider the same…
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…
This paper is devoted to a high-dimensional mixed leadership stochastic differential game on a finite horizon in feedback information mode, where the control variables enter into the diffusion term of state equation. A verification theorem…
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic…