Related papers: Uniformly Self-Justified Equilibria
Frequent violations of fair principles in real-life settings raise the fundamental question of whether such principles can guarantee the existence of a self-enforcing equilibrium in a free economy. We show that elementary principles of…
In this paper we study stochastic dynamic games with many players; these are a fundamental model for a wide range of economic applications. The standard solution concept for such games is Markov perfect equilibrium (MPE), but it is well…
We study a dynamic game where an expert sends probabilistic forecasts to a decision-maker. The decision-maker verifies these forecasts using a calibration test based on past data. How should the expert send forecasts to maximize her payoff…
The efficient market hypothesis (EMH), based on rational expectations and market equilibrium, is the dominant perspective for modelling economic markets. However, the most notable critique of the EMH is the inability to model periods of…
In many multiagent settings, such as electric vehicle charging and traffic routing, agents must make decisions in the face of uncertain behavior exhibited by others. Often, this uncertainty arises from multiple sources, such as incomplete…
Uniformly regular equilibrium problems are natural generalizations of abstract equilibrium prob lems and they are defined over the uniformly prox-regular nonconvex sets. Some new efficient implicit methods for solving uniformly regular…
We construct subgame-perfect equilibria with mixed strategies for symmetric stochastic timing games with arbitrary strategic incentives. The strategies are qualitatively different for local first- or second-mover advantages, which we…
It is the aim of this work provide a rigorous treatment concerning the formation of spatial rational expectations equlibria in a general class of spatial economic models under the effect of externalities, using techniques from the calculus…
This paper focuses on the coordination of a large population of dynamic agents with private information over multiple periods. Each agent maximizes the individual utility, while the coordinator determines the market rule to achieve group…
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…
The standard solution concept for stochastic games is Markov perfect equilibrium (MPE); however, its computation becomes intractable as the number of players increases. Instead, we consider mean field equilibrium (MFE) that has been…
The use of surrogate models instead of computationally expensive simulation codes is very convenient in engineering. Roughly speaking, there are two kinds of surrogate models: the deterministic and the probabilistic ones. These last are…
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…
In dynamic settings each economic agent's choices can be revealing of her private information. This elicitation via the rationalization of observable behavior depends each agent's perception of which payoff-relevant contingencies other…
We formulate and study a general time-varying multi-agent system where players repeatedly compete under incomplete information. Our work is motivated by scenarios commonly observed in online advertising and retail marketplaces, where agents…
We propose a Statistical-Mechanics inspired framework for modeling economic systems. Each agent composing the economic system is characterized by a few variables of distinct nature (e.g. saving ratio, expectations, etc.). The agents…
The strategic selection of resources by selfish agents has long been a key area of research, with Resource Selection Games and Congestion Games serving as prominent examples. In these traditional frameworks, agents choose from a set of…
This essay discusses the advantages of a probabilistic agent-based approach to questions in theoretical economics, from the nature of economic agents, to the nature of the equilibria supported by their interactions. One idea we propose is…
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…
We study a system of $N$ agents, whose wealth grows linearly, under the effect of stochastic resetting and interacting via a tax-like dynamics -- all agents donate a part of their wealth, which is, in turn, redistributed equally among all…