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We study the impact of transition scenario uncertainty, namely that of future carbon price and electricity demand, on the pace of decarbonization of the electricity industry. To this end, we develop a theory of optimal stopping mean-field…
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…
Distributed Nash equilibrium (NE) seeking problem for multi-coalition games has attracted increasing attention in recent years, but the research mainly focuses on the case without agreement demand within coalitions. This paper considers a…
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…
We propose and analyze a framework for mean-field Markov games under model uncertainty. In this framework, a state-measure flow describing the collective behavior of a population affects the given reward function as well as the unknown…
This paper studies an optimal investment-consumption problem for competitive agents with exponential or power utilities and a common finite time horizon. Each agent regards the average of habit formation and wealth from all peers as…
Game-theoretic approaches and Nash equilibrium have been widely applied across various engineering domains. However, practical challenges such as disturbances, delays, and actuator limitations can hinder the precise execution of Nash…
In this paper, we introduce a preliminary model for interactions in the data market. Recent research has shown ways in which a data aggregator can design mechanisms for users to ensure the quality of data, even in situations where the users…
We address the problem of assessing the robustness of the equilibria in uncertain, multi-agent games. Specifically, we focus on generalized Nash equilibrium problems in aggregative form subject to linear coupling constraints affected by…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…
We propose a toy model for a stochastic description of the competition between two athletes of unequal strength, whose average strength difference is represented by a parameter $d$. The athletes interact through the choice of their…
We study mean field portfolio games with random market parameters, where each player is concerned with not only her own wealth but also relative performance to her competitors. We use the martingale optimality principle approach to…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
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…
We explore the effect of discounting and experimentation in a simple model of interacting adaptive agents. Agents belong to either of two types and each has to decide whether to participate a game or not, the game being profitable when…
In this paper, we study the problem of the distributed Nash equilibrium seeking of N-player games over jointly strongly connected switching networks. The action of each player is governed by a class of uncertain nonlinear systems. Our…
The stability of money value is an important requisite for a functioning economy, yet it critically depends on the actions of participants in the market themselves. Here we model the value of money as a dynamical variable that results from…
This paper studies the n-player game and the mean field game under the CRRA relative performance on terminal wealth, in which the interaction occurs by peer competition. In the model with n agents, the price dynamics of underlying risky…
This paper addresses a class of network games played by dynamic agents using their outputs. Unlike most existing related works, the Nash equilibrium in this work is defined by functions of agent outputs instead of full agent states, which…
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…