Related papers: Robust equilibrium strategies in a defined benefit…
We formulate conditions for the solvability of the problem of robust utility maximization from final wealth in continuous time financial markets, without assuming weak compactness of the densities of the uncertainty set, as customary in the…
We consider a large community of individuals who mix strongly and meet in pairs to bet on a coin toss. We investigate the asset distribution of the players involved in this zero-sum repeated game. Our main result is that the asset…
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero…
We study nonzero-sum stochastic differential games with risk-sensitive ergodic cost criterion. Under certain conditions, using multi-parameter eigenvalue approach, we establish the existence of a Nash equilibrium in the space of stationary…
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…
This paper expands the notion of robust profit opportunities in financial markets to incorporate distributional uncertainty using Wasserstein distance as the ambiguity measure. Financial markets with risky and risk-free assets are…
Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has…
This paper presents a dynamic game framework to analyze the role of large banks in interbank markets. By extending existing models, we incorporate a large bank as a dynamic decision-maker interacting with multiple small banks. Using the…
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both…
We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving…
This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…
This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized…
We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the stochastic dynamics of the debt-to-GDP ratio via singular…
The overall aim of our research is to develop techniques to reason about the equilibrium properties of multi-agent systems. We model multi-agent systems as concurrent games, in which each player is a process that is assumed to act…
Assignment games represent a tractable yet versatile model of two-sided markets with transfers. We study the likely properties of the core of randomly generated assignment games. If the joint productivities of every firm and worker are…
Ensuring robust decision-making in multi-agent systems is challenging when agents have distinct, possibly conflicting objectives and lack full knowledge of each other's strategies. This is apparent in safety-critical applications such as…
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or…
A hybrid simulation-based framework involving system dynamics and agent-based simulation is proposed to address duopoly game considering multiple strategic decision variables and rich payoff, which cannot be addressed by traditional…
Robots deployed in real-world environments should operate safely in a robust manner. In scenarios where an "ego" agent navigates in an environment with multiple other "non-ego" agents, two modes of safety are commonly proposed --…
We study model-based and model-free policy optimization in a class of nonzero-sum stochastic dynamic games called linear quadratic (LQ) deep structured games. In such games, players interact with each other through a set of weighted…