Related papers: Systemic Risk Models for Disjoint and Overlapping …

A financial system is represented by a network, where nodes correspond to banks, and directed labeled edges correspond to debt contracts between banks. Once a payment schedule has been defined, where we assume that a bank cannot refuse a…

We consider a distributed stochastic approximation (SA) scheme for computing an equilibrium of a stochastic Nash game. Standard SA schemes employ diminishing steplength sequences that are square summable but not summable. Such requirements…

We consider a 3-player game in the normal form, in which each player has two actions. We assume that the game is symmetric and repeated infinitely many times. At each stage players make their choices knowing only the average payoffs from…

In this work, we propose a probabilistic value-passing CCS (Calculus of Communicating System) approach to model and analyze a typical network security scenario with one attacker and one defender. By minimizing this model with respect to…

Many models from a variety of areas involve the computation of an equilibrium or fixed point of some kind. Examples include Nash equilibria in games; market equilibria; computing optimal strategies and the values of competitive games…

One of the natural objectives of the field of the social networks is to predict agents' behaviour. To better understand the spread of various products through a social network arXiv:1105.2434 introduced a threshold model, in which the nodes…

We introduce a new methodology that enables detection of the onset of convergence towards Nash equilibria in simple repeated games with infinitely large strategy spaces, thereby revealing the heuristics used in decision-making. The method…

In this work, we provide a structural characterization of the possible Nash equilibria in the well-studied class of security games with additive utility. Our analysis yields a classification of possible equilibria into seven types and we…

The Nash equilibrium paradigm, and Rational Choice Theory in general, rely on agents acting independently from each other. This note shows how this assumption is crucial in the definition of Rational Choice Theory. It explains how a…

This work proposes a novel distributed approach for computing a Nash equilibrium in convex games with merely monotone and restricted strongly monotone pseudo-gradients. By leveraging the idea of the centralized operator extrapolation method…

This paper investigates the equilibrium convergence properties of a proposed algorithm for potential games with continuous strategy spaces in the presence of feedback delays, a main challenge in multi-agent systems that compromises the…

I show that the solution of a standard clearing model commonly used in contagion analyses for financial systems can be expressed as a specific form of a generalized Katz centrality measure under conditions that correspond to a system-wide…

Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…

We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…

We consider for the first time a stochastic generalized Nash equilibrium problem, i.e., with expected-value cost functions and joint feasibility constraints, under partial-decision information, meaning that the agents communicate only with…

Research capacity is critical in understanding systemic risk and informing new regulation. Banking regulation has not kept pace with all the complexities of financial innovation. The academic literature on systemic risk is rapidly…

This paper addresses the distributed Nash Equilibrium seeking problem for aggregative games, where legitimate players' decisions are affected by potential malicious players. To describe players' behavior, we introduce a novel heterogeneous…

The computational study of equilibria involving constraints on players' strategies has been largely neglected. However, in real-world applications, players are usually subject to constraints ruling out the feasibility of some of their…

In repeated-game applications where both the collusive and non-collusive outcomes can be supported as equilibria, researchers must resolve underlying selection questions if theory will be used to understand counterfactual policies. One…

The Nash Equilibrium is a much discussed, deceptively complex, method for the analysis of non-cooperative games. If one reads many of the commonly available definitions the description of the Nash Equilibrium is deceptively simple in…