Related papers: Systemic Risk Models for Disjoint and Overlapping …
Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use…
This paper considers a class of noncooperative games in which the feasible decision sets of all players are coupled together by a coupled inequality constraint. Adopting the variational inequality formulation of the game, we first introduce…
This paper introduces two fundamentally new concepts to game theory: multilateral Nash equilibria and families of games. Starting with non-cooperative games, we show how these notions together seamlessly integrate into and naturally extend…
Most familiar equilibrium concepts, such as Nash and correlated equilibrium, guarantee only that no single player can improve their utility by deviating unilaterally. They offer no guarantees against profitable coordinated deviations by…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
A growing body of literature in networked systems research relies on game theory and mechanism design to model and address the potential lack of cooperation between self-interested users. Most game-theoretic models applied to system…
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all…
Many policy problems involve designing individualized treatment allocation rules to maximize the equilibrium social welfare of interacting agents. Focusing on large-scale simultaneous decision games with strategic complementarities, we…
Equilibria of realistic multiplayer games constitute a key solution concept both in practical applications, such as online advertising auctions and electricity markets, and in analytical frameworks used to study strategic voting in…
In this paper we focus on noncooperative games with uncertain constraints coupling the agents' decisions. We consider a setting where bounded deviations of agents' decisions from the equilibrium are possible, and uncertain constraints are…
Existing settings of decentralized learning either require players to have full information or the system to have certain special structure that may be hard to check and hinder their applicability to practical systems. To overcome this, we…
This article introduces a class of $Nash$ games among $Stackelberg$ players ($NASPs$), namely, a class of simultaneous non-cooperative games where the players solve sequential Stackelberg games. Specifically, each player solves a…
Solution methods for generalized Nash equilibrium have been dominated by variational inequalities and complementarity problems. Since these approaches fundamentally rely on the sufficiency of first-order optimality conditions for the…
We survey systemic risks to financial markets and present a high-level description of an algorithm that measures systemic risk in terms of coupled networks.
Game theory is a very profound study on distributed decision-making behavior and has been extensively developed by many scholars. However, many existing works rely on certain strict assumptions such as knowing the opponent's private…
We propose a reliable intersection control mechanism for strategic autonomous and connected vehicles (agents) in non-cooperative environments. Each agent has access to his/her earliest possible and desired passing times, and reports a…
Game theory provides a well-established framework for the analysis of concurrent and multi-agent systems. The basic idea is that concurrent processes (agents) can be understood as corresponding to players in a game; plays represent the…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
Counterfactual Regret Minimization and variants (e.g. Public Chance Sampling CFR and Pure CFR) have been known as the best approaches for creating approximate Nash equilibrium solutions for imperfect information games such as poker. This…
We consider a multi-agent noncooperative game with agents' objective functions being affected by uncertainty. Following a data driven paradigm, we represent uncertainty by means of scenarios and seek a robust Nash equilibrium solution. We…