Related papers: Systemic Risk Models for Disjoint and Overlapping …
A Nash Equilibrium (NE) is a strategy profile resilient to unilateral deviations, and is predominantly used in the analysis of multiagent systems. A downside of NE is that it is not necessarily stable against deviations by coalitions. Yet,…
This paper proposes a novel approach for local convergence to Nash equilibrium in quadratic noncooperative games based on a distributed Lie-bracket extremum seeking control scheme. This is the first instance of noncooperative games being…
Nash equilibrium is a key concept in game theory fundamental for elucidating the equilibrium state of strategic interactions, finding applications in diverse fields such as economics, political science, and biology. However, the Nash…
This paper investigates a class of mixed stochastic linear-quadratic-Gaussian (LQG) social optimization and Nash game in the context of a large scale system. Two types of interactive agents are involved: a major agent and a large number of…
Nash equilibrium serves as a fundamental mathematical tool in economics and game theory. However, it classically assumes knowledge of player utilities, whereas economics generally regards preferences as more fundamental. To leverage…
Coordination games have been of interest to game theorists, economists, and ecologists for many years to study such problems as the emergence of local conventions and the evolution of cooperative behavior. Approaches for understanding the…
This paper develops a distributed Nash Equilibrium seeking algorithm for heterogeneous multi-robot systems. The algorithm utilises distributed optimisation and output control to achieve the Nash equilibrium by leveraging information shared…
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
In the context of multi-player, general-sum games, there is an increasing interest in solution concepts modeling some form of communication among players, since they can lead to socially better outcomes with respect to Nash equilibria, and…
We introduce a dynamic model of the default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearing members. Using a Markovian…
Nash equilibrium is perhaps the best-known solution concept in game theory. Such a solution assigns a strategy to each player which offers no incentive to unilaterally deviate. While a Nash equilibrium is guaranteed to always exist, the…
Game theory has been applied to investigate network security. But different security scenarios were often modeled via different types of games and analyzed in an ad-hoc manner. In this paper, we propose an algebraic approach for modeling…
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…
The aim of this paper is to study a new methodological framework for systemic risk measures by applying deep learning method as a tool to compute the optimal strategy of capital allocations. Under this new framework, systemic risk measures…
Increasing connectivity of communication networks enables large-scale distributed processing over networks and improves the efficiency for information exchange. However, malware and virus can take advantage of the high connectivity to…
In this paper, we study closed-loop strong equilibrium strategies for the time-inconsistent control problem with higher-order moments formulated by [Wang et al. SIAM J. Control. Optim., 63 (2025), 1560--1589]. Since time-inconsistency makes…
This paper proposes a novel approach for locally stable convergence to Nash equilibrium in duopoly noncooperative games based on a distributed event-triggered control scheme. The proposed approach employs extremum seeking, with sinusoidal…
Successful algorithms have been developed for computing Nash equilibrium in a variety of finite game classes. However, solving continuous games -- in which the pure strategy space is (potentially uncountably) infinite -- is far more…
The global financial system has become highly connected and complex. Has been proven in practice that existing models, measures and reports of financial risk fail to capture some important systemic dimensions. Only lately, advisory boards…