Related papers: Relative wealth concerns with partial information …

We look at how asset exchange models can be mapped to random iterated function systems (IFS) giving new insights into the dynamics of wealth accumulation in such models. In particular, we focus on the "yard-sale" (winner gets a random…

We study the system of heterogeneous interbank lending and borrowing based on the relative average of log-capitalization given by the linear combination of the average within groups and the ensemble average and describe the evolution of…

We study the performance of the gradient play algorithm for stochastic games (SGs), where each agent tries to maximize its own total discounted reward by making decisions independently based on current state information which is shared…

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…

Federated reinforcement learning (FRL) has emerged as a promising paradigm for reducing the sample complexity of reinforcement learning tasks by exploiting information from different agents. However, when each agent interacts with a…

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…

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 study the dynamic portfolio selection of an investor who uses deep learning methods to forecast stock market excess returns. In a two-asset allocation problem, deep neural networks -- both feedforward and long short-term memory (LSTM)…

We present a framework that incorporates the idea of bounded rationality into dynamic stochastic pursuit-evasion games. The solution of a stochastic game is characterized, in general, by its (Nash) equilibria in feedback form. However,…

We consider a variant of the hide-and-seek game in which a seeker inspects multiple hiding locations to find multiple items hidden by a hider. Each hiding location has a maximum hiding capacity and a probability of detecting its hidden…

We present novel techniques for neuro-symbolic concurrent stochastic games, a recently proposed modelling formalism to represent a set of probabilistic agents operating in a continuous-space environment using a combination of neural network…

A Nash Equilibrium (NE) is a strategy profile resilient to unilateral deviations, and is predominantly used in the analysis of multiagent systems. A downside of NE is that it is not necessarily stable against deviations by coalitions. Yet,…

This paper introduces risk-revising players to a class of games with incomplete information. These players enter the game with ex ante risk preferences represented by coherent risk measures and develop time-consistent interim revisions of…

We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…

This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…

Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…

We consider a game-theoretic model where individuals compete over a shared failure-prone system or resource. We investigate the effectiveness of a taxation mechanism in controlling the utilization of the resource at the Nash equilibrium…

This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The…

This paper examines a heterogeneous beliefs model in which there is a process that is only partially observed by the agents. The economy contains a risky asset producing dividends continuously in time. The dividends are observed by the…

Many economic transactions, including those of online markets, have a time lag between the start and end times of transactions. Customers need to wait for completion of their transaction (order fulfillment) and hence are also interested in…