Related papers: Bounded arbitrage and nearly rational behavior
Bounded rationality refers to the non-optimal rationality of players in non-cooperative games. In a networked game, the bounded rationality of players may be heterogeneous and spatially distributed. It has been shown that the `system…
We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference…
We derive the arbitrage gains or, equivalently, Loss Versus Rebalancing (LVR) for arbitrage between \textit{two imperfectly liquid} markets, extending prior work that assumes the existence of an infinitely liquid reference market. Our…
We provide a novel characterization of the $n$-th degree bounded stochastic dominance (BSD) order, linking it to the risk tolerance of decision-makers and providing a decision-theoretic foundation for these stochastic orders. Our results…
The strategic selection of resources by selfish agents is a classic research direction, with Resource Selection Games and Congestion Games as prominent examples. In these games, agents select available resources and their utility then…
An approach to reasoning with default rules where the proportion of exceptions, or more generally the probability of encountering an exception, can be at least roughly assessed is presented. It is based on local uncertainty propagation…
In this work we generalize standard Decision Theory by assuming that two outcomes can also be incomparable. Two motivating scenarios show how incomparability may be helpful to represent those situations where, due to lack of information,…
In this paper, we develop necessary and sufficient conditions for the validity of a martingale approximation for the partial sums of a stationary process in terms of the maximum of consecutive errors. Such an approximation is useful for…
We consider multiplayer stochastic games in which the payoff of each player is a bounded and Borel-measurable function of the infinite play. By using a generalization of the technique of Martin (1998) and Maitra and Sudderth (1998), we show…
A limited participation economy models the real-world phenomenon that some economic agents have access to more of the financial market than others. We prove the global existence of a Radner equilibrium with limited participation, where the…
We study stochastic games with energy-parity objectives, which combine quantitative rewards with a qualitative $\omega$-regular condition: The maximizer aims to avoid running out of energy while simultaneously satisfying a parity condition.…
We propose an inequality paradigm for probabilistic reasoning based on a logic of upper and lower bounds on conditional probabilities. We investigate a family of probabilistic logics, generalizing the work of Nilsson [14]. We develop a…
In this paper, paired comparison models with stochastic background are investigated. We focus on the models that allow three options for choice. We estimate all parameters, the strength of the objects and the boundaries of equal decision,…
The quasi-steady-state approximation (or stochastic averaging principle) is a useful tool in the study of multiscale stochastic systems, giving a practical method by which to reduce the number of degrees of freedom in a model. The method is…
In this paper we estimate the rest of the approximation of a stationary process by a martingale in terms of the projections of partial sums. Then, based on this estimate, we obtain almost sure approximation of partial sums by a martingale…
The main objective of this paper is to outline a theoretical framework to characterise humans' decision-making strategies under uncertainty, in particular active learning in a black-box optimization task and trading-off between information…
It is frequently suggested that predictions made by game theory could be improved by considering computational restrictions when modeling agents. Under the supposition that players in a game may desire to balance maximization of payoff with…
Along with the energy transition, the energy markets change their organization toward more decentralized and self-organized structures, striving for locally optimal profits. These tendencies may endanger the physical grid stability. One…
We consider a decision-making problem to evaluate absolute ratings of alternatives from the results of their pairwise comparisons according to two criteria, subject to constraints on the ratings. We formulate the problem as a bi-objective…
In practice, most auction mechanisms are not strategy-proof, so equilibrium analysis is required to predict bidding behavior. In many auctions, though, an exact equilibrium is not known and one would like to understand whether -- manually…