Related papers: Uniformly Self-Justified Equilibria
We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can…
There exists in nature many examples of systems presenting self-limiting behaviour: population dynamics, structure engineering, Townsend's electron breakdown, nuclear decay in radioactive equilibrium, histeresis process, meteorological…
We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execution strategies are dynamic, in the sense that they react to…
We propose a general scenario to analyze social and economic changes in modern environments. We illustrate the ideas with a model that incorporating the main trends is simple enough to extract analytical results and, at the same time,…
Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in the future that is optimal for an agent today may not be optimal for the same agent in the future. If the agent is aware of this intra-personal…
We study a heterogeneous agent macroeconomic model with an infinite number of households and firms competing in a labor market. Each household earns income and engages in consumption at each time step while aiming to maximize a concave…
Traditional statistical estimation, or statistical inference in general, is static, in the sense that the estimate of the quantity of interest does not change the future evolution of the quantity. In some sequential estimation problems…
We study a class of games which model the competition among agents to access some service provided by distributed service units and which exhibit congestion and frustration phenomena when service units have limited capacity. We propose a…
We introduce a model of estimation in the presence of strategic, self-interested sensors. We employ a game-theoretic setup to model the interaction between the sensors and the receiver. The cost function of the receiver is equal to the…
We study the problem of computing optimal correlated equilibria (CEs) in infinite-horizon multi-player stochastic games, where correlation signals are provided over time. In this setting, optimal CEs require history-dependent policies; this…
This paper studies the economic role of persistent dispersion in allocations across agents. We develop a tractable model in which firms allocate resources under imperfect information and behavioral updating, generating sustained…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
We propose and compare new global solution algorithms for continuous time heterogeneous agent economies with aggregate shocks. First, we approximate the agent distribution so that equilibrium in the economy can be characterized by a high,…
This paper explores an idealized dynamic population sizing strategy for solving additive decomposable problems of uniform scale. The method is designed on top of the foundations of existing population sizing theory for this class of…
Optimal prediction (OP) methods compensate for a lack of resolution in the numerical solution of complex problems through the use of an invariant measure as a prior measure in the Bayesian sense. In first-order OP, unresolved information is…
We consider a sequence of repeated interactions between an agent and an environment. Uncertainty about the environment is captured by a probability distribution over a space of hypotheses, which includes all computable functions. Given a…
This paper proposes a new equilibrium concept "robust perfect equilibrium" for non-cooperative games with a continuum of players, incorporating three types of perturbations. Such an equilibrium is shown to exist (in symmetric mixed…
The distributed computation of Nash equilibria is assuming growing relevance in engineering where such problems emerge in the context of distributed control. Accordingly, we present schemes for computing equilibria of two classes of static…
In order to solve complex, long-horizon tasks, intelligent robots need to carry out high-level, abstract planning and reasoning in conjunction with motion planning. However, abstract models are typically lossy and plans or policies computed…
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…