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Continually arriving information is communicated through a network of $n$ agents, with the value of information to the $j$'th recipient being a decreasing function of $j/n$, and communication costs paid by recipient. Regardless of details…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
We study the effect of interim feedback policies in a dynamic all-pay auction where two players bid over two stages to win a common-value prize. We show that sequential equilibrium outcomes are characterized by Cheapest Signal Equilibria,…
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…
An agent acquires information dynamically until her belief about a binary state reaches an upper or lower threshold. She can choose any signal process subject to a constraint on the rate of entropy reduction. Strategies are ordered by "time…
With recent development of artificial intelligence, it is more common to adopt AI agents in economic activities. This paper explores the economic actions of agents, including human agents and AI agents, in an economic game of trading…
Transparency of information disclosure has always been considered an instrumental component of effective governance, accountability, and ethical behavior in any organization or system. However, a natural question follows: \emph{what is the…
We study price-discrimination games between buyers and a seller where privacy arises endogenously--that is, utility maximization yields equilibrium strategies where privacy occurs naturally. In this game, buyers with a high valuation for a…
This paper introduces a novel continuous-time dynamic average consensus algorithm for networks whose interaction is described by a strongly connected and weight-balanced directed graph. The proposed distributed algorithm allows agents to…
We consider the problem of how strategic users with asymmetric information can learn an underlying time varying state in a user-recommendation system. Users who observe private signals about the state, sequentially make a decision about…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
We propose a continuous-time nonlinear model of opinion dynamics with utility-maximizing agents connected via a social influence network. A distinguishing feature of the proposed model is the inclusion of an opinion-dependent…
This paper presents a comprehensive analytical study of two competitive cognitive operators' spectrum leasing and pricing strategies, taking into account operators' heterogeneity in leasing costs and users' heterogeneity in transmission…
We study the value and the optimal strategies for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our Bayesian set-up, the drift of the underlying diffusion process is unknown to one player…
Deployed reinforcement learning systems lack a principled runtime reliability theory. We close this gap by introducing Bipredictability, P, a closed form information theoretic metric that quantifies how efficiently a closed loop interaction…
Current research in distributed Nash equilibrium (NE) seeking in the partial information setting assumes that information is exchanged between agents that are "truthful". However, in general noncooperative games agents may consider sending…
By embedding uncertainty into time, we obtain a conjoint axiomatic characterization of both Exponential Discounting and Subjective Expected Utility that accommodates arbitrary state and outcome spaces. In doing so, we provide a novel and…
A network of agents attempt to learn some unknown state of the world drawn by nature from a finite set. Agents observe private signals conditioned on the true state, and form beliefs about the unknown state accordingly. Each agent may face…
This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average…
One of the reasons why stochastic dynamic games with an underlying dynamic system are challenging is since strategic players have access to enormous amount of information which leads to the use of extremely complex strategies at…