Related papers: Systemic Risk Models for Disjoint and Overlapping …
Strategic interactions can be represented more concisely, and analyzed and solved more efficiently, if we are aware of the symmetries within the multiagent system. Symmetries also have conceptual implications, for example for equilibrium…
In this paper, we investigate the seeking of Nash equilibrium (NE) in a non-cooperative quadratic game where all agents exchange their delayed strategy information with their neighbors. To extend best-response algorithms to the delayed…
Responsibility allocation -- determining the extent to which agents are accountable for outcomes -- is a fundamental challenge in the design and analysis of multi-agent systems. In this work, we model such systems as concurrent stochastic…
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…
In this paper, we deal with risk evaluation and risk-averse optimization of complex distributed systems with general risk functionals. We postulate a novel set of axioms for the functionals evaluating the total risk of the system. We derive…
We propose a type of non-cooperative game, termed multi-cluster aggregative game, which is composed of clusters as players, where each cluster consists of collaborative agents with cost functions depending on their own decisions and the…
We characterize Nash equilibrium by postulating coherent behavior across varying games. Nash equilibrium is the only solution concept that satisfies the following axioms: (i) strictly dominant actions are played with positive probability,…
We study the solution's existence for a generalized Dynkin game of switching type which is shown to be the natural representation for general defaultable OTC contract with contingent CSA. This is a theoretical counterparty risk mitigation…
In this paper, we investigate a distributed Nash equilibrium computation problem for a time-varying multi-agent network consisting of two subnetworks, where the two subnetworks share the same objective function. We first propose a…
We discuss the systemic risk implied by the interbank exposures reconstructed with the maximum entropy method. The maximum entropy method severely underestimates the risk of interbank contagion by assuming a fully connected network, while…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
In this paper, we propose a numerical methodology for finding the closed-loop Nash equilibrium of stochastic delay differential games through deep learning. These games are prevalent in finance and economics where multi-agent interaction…
We propose fully-distributed algorithms for Nash equilibrium seeking in aggregative games over networks. We first consider the case where local constraints are present and we design an algorithm combining, for each agent, (i) the projected…
We quantize prisoner dilemma in presence of collective dephasing with dephasing rate $\gamma $. It is shown that for two parameters set of strategies $Q\otimes Q$ is Nash equilibrium below a cut-off value of time. Beyond this cut-off it…
Computational aspects of solution notions such as Nash equilibrium have been extensively studied, including settings where the ultimate goal is to find an equilibrium that possesses some additional properties. Furthermore, in order to…
One key in real-life Nash equilibrium applications is to calibrate players' cost functions. To leverage the approximation ability of neural networks, we proposed a general framework for optimizing and learning Nash equilibrium using neural…
In this paper, we study finite-agent linear-quadratic games on graphs. Specifically, we propose a comprehensive framework that extends the existing literature by incorporating heterogeneous and interpretable player interactions. Compared to…
This paper investigates closed-loop Nash equilibria for discrete-time linear-quadratic (LQ) stochastic nonzero-sum difference games with random coefficients. Unlike existing works, we consider randomness in both state dynamics and cost…
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…
This paper studies random reshuffling (RR)-based distributed Nash equilibrium seeking for noncooperative games. The game is motivated as a sample-average approximation of an underlying expected-value stochastic game, while the algorithmic…