Related papers: Dynamic Equilibrium with Insider Information and G…
Large dynamic economies with heterogeneous agents and aggregate shocks are central to many important applications, yet their equilibrium analysis remains computationally challenging. This is because the standard solution approach, rational…
I prove that it is irrational for agents with even slightly private preferences to condition their strategy on private information that is payoff-irrelevant to them, contrary to powerful techniques for analyzing communication and repeated…
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and…
In this work, we study the system of interacting non-cooperative two Q-learning agents, where one agent has the privilege of observing the other's actions. We show that this information asymmetry can lead to a stable outcome of population…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…
This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…
An analyst observes the frequency with which a decision maker (DM) takes actions, but not the frequency conditional on payoff-relevant states. We ask when the analyst can rationalize the DM's choices as if the DM first learns something…
Exponential distribution is ubiquitous in the framework of multi-agent systems. Usually, it appears as an equilibrium state in the asymptotic time evolution of statistical systems. It has been explained from very different perspectives. In…
We study the design of efficient mechanisms under asymmetric awareness and information. Unawareness refers to the lack of conception rather than the lack of information. Assuming quasi-linear utilities and private values, we show that we…
We study a dynamic stopping game between a principal and an agent. The agent is privately informed about his type. The principal learns about the agent's type from a noisy performance measure, which can be manipulated by the agent via a…
We study the informational efficiency of a market with a single traded asset. The price initially differs from the fundamental value, about which the agents have noisy private information (which is, on average, correct). A fraction of…
This work considers a novel information design problem and studies how the craft of payoff-relevant environmental signals solely can influence the behaviors of intelligent agents. The agents' strategic interactions are captured by an…
In dynamic settings each economic agent's choices can be revealing of her private information. This elicitation via the rationalization of observable behavior depends each agent's perception of which payoff-relevant contingencies other…
We consider long-lived agents who interact repeatedly in a social network. In each period, each agent learns about an unknown state by observing a private signal and her neighbors' actions from the previous period before choosing her own…
We consider a stochastic game with partial, asymmetric and non-classical information, where the agents are trying to acquire as many available opportunities/locks as possible. Agents have access only to local information, the information…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
We present a simple model of a non-equilibrium self-organizing market where asset prices are partially driven by investment decisions of a bounded-rational agent. The agent acts in a stochastic market environment driven by various exogenous…
When multiple informative equilibria are possible in a general cheap talk game, how much information can a principal guarantee herself? To answer this question, I define the notion of worst-case implementation-implementation via the worst…
This paper analyzes a dynamic interaction between a fully rational, privately informed sender and a boundedly rational, uninformed receiver with memory constraints. The sender controls the flow of information, while the receiver designs a…
Many smart grid frameworks, such as demand response programs, require accurate information about consumers' parameters (e.g., flexibility) at the aggregator side to optimize grid operations. Existing works typically rely on perfect…