Related papers: Uniformly Self-Justified Equilibria
Dynamic Stochastic General Equilibrium (DSGE) models are nowadays a crucial quantitative tool for policy-makers. However, they did not emerge spontaneously. They are built upon previously established ideas in Economics and relatively recent…
We introduce robust learning equilibrium. The idea of learning equilibrium is that learning algorithms in multi-agent systems should themselves be in equilibrium rather than only lead to equilibrium. That is, learning equilibrium is immune…
Stochastic multiplicative dynamics characterize many complex natural phenomena such as selection and mutation in evolving populations, and the generation and distribution of wealth within social systems. Population heterogeneity in…
In this paper, we present a generalization of the certainty equivalence principle of stochastic control. One interpretation of the classical certainty equivalence principle for linear systems with output feedback and quadratic costs is as…
By generalizing the measurements on the game experiments of mixed strategy Nash equilibrium, we study the dynamical pattern in a representative dynamic stochastic general equilibrium (DSGE). The DSGE model describes the entanglements of the…
Within the model of social dynamics determined by collective decisions in a stochastic environment (the ViSE model), we consider the case of a homogeneous society consisting of classically rational economic agents. We obtain analytical…
In self-driving, predicting future in terms of location and motion of all the agents around the vehicle is a crucial requirement for planning. Recently, a new joint formulation of perception and prediction has emerged by fusing rich sensory…
Distributed optimization for resource allocation problems is investigated and a sub-optimal continuous-time algorithm is proposed. Our algorithm has lower order dynamics than others to reduce burdens of computation and communication, and is…
In biology and ecology, individuals or communities of individuals living in unpredictable environments often alternate between different evolutionary strategies to spread and reduce risks. Such behavior is commonly referred to as…
We study a continuous time economy where agents have asymmetric information. The informed agent (``$I$''), at time zero, receives a private signal about the risky assets' terminal payoff $\Psi(X_T)$, while the uninformed agent (``$U$'') has…
We derive a class of macroscopic differential equations that describe collective adaptation, starting from a discrete-time stochastic microscopic model. The behavior of each agent is a dynamic balance between adaptation that locally…
A system of dynamically consistent nonlinear evaluation (${\cal{F}}$-evaluation) provides an ideal characterization for the dynamical behaviors of risk measures and the pricing of contingent claims. The purpose of this paper is to study the…
Probabilistic forecasting in combination with stochastic programming is a key tool for handling the growing uncertainties in future energy systems. Derived from a general stochastic programming formulation for the optimal scheduling and…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
The thesis of this essay is that, in heterogeneous agent macroeconomics, the assumption of rational expectations about equilibrium prices is unrealistic and should be replaced. Rational expectations imply that decision makers forecast…
We study a dynamic traffic assignment model, where agents base their instantaneous routing decisions on real-time delay predictions. We formulate a mathematically concise model and define dynamic prediction equilibrium (DPE) in which no…
Whether a population of decision-making individuals will reach a state of satisfactory decisions is a fundamental problem in studying collective behaviors. In the framework of evolutionary game theory and by means of potential functions,…
Discrete-time stochastic systems are an essential modelling tool for many engineering systems. We consider stochastic control systems that are evolving over continuous spaces. For this class of models, methods for the formal verification…
This paper investigates an infinite-horizon problems in the one-dimensional calculus of variations, arising from the Ramsey model of endogeneous economic growth. Following Chichilnisky, we introduce an additional term, which models concern…
This paper presents a technique for approximating, up to any precision, the set of subgame-perfect equilibria (SPE) in discounted repeated games. The process starts with a single hypercube approximation of the set of SPE. Then the initial…