Related papers: Uniformly Self-Justified Equilibria
Designing socially optimal policies in multi-agent environments is a fundamental challenge in both economics and artificial intelligence. This paper studies a general framework for learning Stackelberg equilibria in dynamic and uncertain…
This paper considers the optimal dispatch of energy-constrained heterogeneous storage units to maximise security of supply. A policy, requiring no knowledge of the future, is presented and shown to minimise unserved energy during…
We suggest a novel stochastic-approximation algorithm to compute a symmetric Nash-equilibrium strategy in a general queueing game with a finite action space. The algorithm involves a single simulation of the queueing process with dynamic…
In network formation games, agents form edges with each other to maximize their utility. Each agent's utility depends on its private beliefs and its edges in the network. Strategic agents can misrepresent their beliefs to get a better…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
In many game-theoretic settings, agents are challenged with taking decisions against the uncertain behavior exhibited by others. Often, this uncertainty arises from multiple sources, e.g., incomplete information, limited computation,…
We present a general framework for matching with transferable utility (TU) that accommodates arbitrary heterogeneity without relying on the logit structure. The optimal assignment problem is characterized by tractable linear programming…
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…
For a class of stochastic dynamical models of exchange economies that we call ``fully connected Cobb-Douglas'', the paper proves convergence of the probability distribution to an equilibrium, in total variation metric as time goes to…
Infinitely repeated games can support cooperative outcomes that are not equilibria in the one-shot game. The idea is to make sure that any gains from deviating will be offset by retaliation in future rounds. However, this model of…
The increasing reliance on renewable energy generation means that storage may well play a much greater role in the balancing of future electricity systems. We show how heterogeneous stores, differing in capacity and rate constraints, may be…
Stochastic differential equations (SDEs) using jump-diffusion processes describe many natural phenomena at the microscopic level. Since they are commonly used to model economic and financial evolutions, the calibration and optimal control…
We consider a stochastic dynamic game where players have their own linear state dynamics and quadratic cost functions. Players are coupled through some environment variables, generated by another linear system driven by the states and…
We develop the method of stochastic modified equations (SME), in which stochastic gradient algorithms are approximated in the weak sense by continuous-time stochastic differential equations. We exploit the continuous formulation together…
Neural Stochastic Differential Equations (NSDEs) model the drift and diffusion functions of a stochastic process as neural networks. While NSDEs are known to make accurate predictions, their uncertainty quantification properties have been…
We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash invariant time-consistent monetary utilities. An assumption of…
We introduce a notion of subgames for stochastic timing games and the related notion of subgame-perfect equilibrium in possibly mixed strategies. While a good notion of subgame-perfect equilibrium for continuous-time games is not available…
We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…
We propose a new mean-field game model with two states to study synchronization phenomena, and we provide a comprehensive characterization of stationary and dynamic equilibria along with their stability properties. The game undergoes a…