Related papers: Systemic Risk and Heterogeneous Mean Field Type In…

Banks in the interbank network can not assess the true risks associated with lending to other banks in the network, unless they have full information on the riskiness of all the other banks. These risks can be estimated by using network…

Generalized Nash equilibrium problems with mixed-integer variables constitute an important class of games in which each player solves a mixed-integer optimization problem, where both the objective and the feasible set is parameterized by…

This paper continues the study of the mean field game (MFG) convergence problem: In what sense do the Nash equilibria of $n$-player stochastic differential games converge to the mean field game as $n\rightarrow\infty$? Previous work on this…

Nash equilibria are crucial for understanding game behavior and systems in economics, physics, biology, and computer science. A significant application arises from the connection between Nash equilibria and optimization problems . However,…

We study a common-pool resource game where the resource experiences failure with a probability that grows with the aggregate investment in the resource. To capture decision making under such uncertainty, we model each player's risk…

Deciding bank interest rates has been a long-standing challenge in finance. It is crucial to ensure that the selected rates balance market share and profitability. However, traditional approaches typically focus on the interest rate changes…

Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination…

We study the stochastic bilinear minimax optimization problem, presenting an analysis of the same-sample Stochastic ExtraGradient (SEG) method with constant step size, and presenting variations of the method that yield favorable…

In this paper, we consider a distributed learning problem in a subnetwork zero-sum game, where agents are competing in different subnetworks. These agents are connected through time-varying graphs where each agent has its own cost function…

We consider $n$ risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state…

This paper studies a systemic risk control problem by the central bank, which dynamically plans monetary supply to stabilize the interbank system with borrowing and lending activities. Facing both heterogeneity among banks and the common…

We investigate how the framework of mean-field games may be used to investigate strategic interactions in large heterogeneous populations. We consider strategic interactions in a population of players which may be partitioned into…

Solution methods for generalized Nash equilibrium have been dominated by variational inequalities and complementarity problems. Since these approaches fundamentally rely on the sufficiency of first-order optimality conditions for the…

In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…

Congestion games offer a primary model in the study of pure Nash equilibria in non-cooperative games, and a number of generalized models have been proposed in the literature. One line of generalization includes weighted congestion games, in…

Nash equilibrium is a central concept in game theory. Several Nash solvers exist, yet none scale to normal-form games with many actions and many players, especially those with payoff tensors too big to be stored in memory. In this work, we…

This paper studies the problem of Nash equilibrium approximation in large-scale heterogeneous mean-field games under communication and computation constraints. A deterministic mean-field game is considered in which the non-linear utility…

We characterize Nash equilibrium by postulating coherent behavior across varying games. Nash equilibrium is the only solution concept that satisfies the following axioms: (i) strictly dominant actions are played with positive probability,…

We introduce a new mean field kinetic model for systems of rational agents interacting in a game theoretical framework. This model is inspired from non-cooperative anonymous games with a continuum of players and Mean-Field Games. The large…

We consider the problem of modeling competitive diffusion in real world social networks via the notion of ChoiceGAPs which combine choice logic programs due to Sacca` and Zaniolo and Generalized Annotated Programs due to Kifer and…