Related papers: Systemic Risk Models for Disjoint and Overlapping …
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash equilibria. When the discount function…
Distributed optimization and Nash equilibrium (NE) seeking problems have drawn much attention in the control community recently. This paper studies a class of non-cooperative games, known as N-cluster game, which subsumes both cooperative…
Clinical risk prediction is a valuable tool for guiding healthcare interventions toward those most likely to benefit. Yet, evaluating the pairing of a risk prediction model with an intervention using randomized controlled trials presents…
The empirical analysis of discrete complete-information games has relied on behavioral restrictions in the form of solution concepts, such as Nash equilibrium. Choosing the right solution concept is crucial not just for identification of…
Solution concepts such as Nash Equilibria, Correlated Equilibria, and Coarse Correlated Equilibria are useful components for many multiagent machine learning algorithms. Unfortunately, solving a normal-form game could take prohibitive or…
We study Nash equilibrium problems with mixed-integer variables in which each player solves a mixed-integer optimization problem parameterized by the rivals' strategies. We distinguish between standard Nash equilibrium problems (NEPs),…
The problem of the distributed Nash equilibrium seeking for aggregative games has been studied over strongly connected and weight-balanced static networks and every time strongly connected and weight-balanced switching networks. In this…
The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad…
We consider a model of a reinsurance market consisting of multiple insurers on the demand side and multiple reinsurers on the supply side, thereby providing a unifying framework and extension of the recent literature on optimality and…
We consider the problem of learning Nash equilibrial policies for two-player risk-sensitive collision-avoiding interactions. Solving the Hamilton-Jacobi-Isaacs equations of such general-sum differential games in real time is an open…
This paper aims to design a distributed coordination algorithm for solving a multi-agent decision problem with a hierarchical structure. The primary goal is to search the Nash equilibrium of a noncooperative game such that each player has…
This paper studies a systemic risk control problem by the central bank, which dynamically plans monetary supply to stabilize the interbank system with borrowing and lending activities. Facing both heterogeneity among banks and the common…
Building upon the results in [Hinterm\"uller et al., SIAM J. Optim, '15], generalized Nash equilibrium problems are considered, in which the feasible set of each player is influenced by the decisions of their competitors. This is realized…
In a society of completely selfish individuals where everybody is only interested in maximizing his own payoff, does any equilibrium exist for the society? John Nash proved more than 50 years ago that an equilibrium always exists such that…
While Nash equilibrium has emerged as the central game-theoretic solution concept, many important games contain several Nash equilibria and we must determine how to select between them in order to create real strategic agents. Several Nash…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…
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 studies the distributed generalized Nash equilibrium seeking problem for aggregative games with coupling constraints, where each player optimizes its strategy depending on its local cost function and the estimated strategy…
We introduce a framework for systemic risk modeling in insurance portfolios using jointly exchangeable arrays, extending classical collective risk models to account for interactions. Joint exchangeability is a more general probabilistic…
We consider shared workspace scenarios with humans and robots acting to achieve independent goals, termed as parallel play. We model these as general-sum games and construct a framework that utilizes the Nash equilibrium solution concept to…