Related papers: Dynamic Inventory Management with Mean-Field Compe…

Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical setting, the number of players is large but fixed throughout…

Large-scale competitive platforms are interacting multi-agent systems in which latent skills drift over time and pairwise interactions are shaped by matchmaking. We study a controlled rating dynamics in the mean-field limit and derive a…

In this paper, we present a model of a game among teams. Each team consists of a homogeneous population of agents. Agents within a team are cooperative while the teams compete with other teams. The dynamics and the costs are coupled through…

The problem of robust dynamic pricing of an abstract commodity, whose inventory is specified at an initial time but never subsequently replenished, originally studied by Perakis and Sood (2006) in discrete time, is considered from the…

This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…

We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of limit and market orders are functions of the market liquidity…

Synthesis of finite-state controllers from high-level specifications in multi-agent systems can be reduced to solving multi-player concurrent games over finite graphs. The complexity of solving such games with qualitative objectives for…

We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…

In this paper, we consider microgrids that interconnect prosumers with distributed energy resources and dynamic loads. Prosumers are connected through the microgrid to trade energy and gain profit while respecting the network constraints.…

We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game.…

In this study, we analyze an advertising competition in a duopoly. We consider two different notions of equilibrium. We model the companies in the duopoly as major players, and the consumers as minor players. In our first game model we…

This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…

We formulate a continuous-time competitive equilibrium model of irreversible capacity investment in which a continuum of heterogeneous producers supplies a single non-durable good subject to exogenous stochastic demand. Each producer…

In this paper, we consider dynamic multi-agent systems (MAS) for decentralized resource allocation. The MAS operates at a competitive equilibrium to ensure supply and demand are balanced. First, we investigate the MAS over a finite horizon.…

There are several aspects of data markets that distinguish them from a typical commodity market: asymmetric information, the non-rivalrous nature of data, and informational externalities. Formally, this gives rise to a new class of games…

In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce risk-sensitivity behaviour for each agent via an exponential utility function. In the game model, each…

The emergence of new communication technologies allows us to expand our understanding of distributed control and consider collaborative decision-making paradigms. With collaborative algorithms, certain local decision-making entities (or…

This paper studies the problem of Nash equilibrium approximation in large-scale heterogeneous mean-field games under communication and computation constraints. A deterministic mean-field game is considered in which the non-linear utility…

Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…

In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…