Related papers: The Time-Interlaced Self-Consistent Master System …
This paper studies a consensus problem in multidimensional networks having the same agent-to-agent interaction pattern under both intra- and cross-layer time delays. Several conditions for the agents to asymptotically reach a consensus are…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
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…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…
The self-organizing behavior of swarms of inter- acting particles or agents is a topic of intense research in fields extending from biology to physics and robotics. In this paper, we carry out a systematic study of how the stable…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
Mean field game equilibria are predicated on the assumption of immediate pairwise interactions within a population of homogeneous agents with asymptotically vanishing influence as population size increases. However, in many real-world…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
This paper studies the consensus problem for multiagent systems with transmission constraints. A novel model of multiagent systems is proposed where the information transmissions between agents are disturbed by irregular distortions or…
The constrained consensus problem considered in this paper, denoted interval consensus, is characterized by the fact that each agent can impose a lower and upper bound on the achievable consensus value. Such constraints can be encoded in…
This paper develops a mean field game framework for dynamic two-sided matching markets, extending existing matching theory by integrating micro-macro dynamics in two-sided environments. Unlike traditional matching models focusing on static…
We consider a class of linear-quadratic-Gaussian mean-field games with a major agent and considerable heterogeneous minor agents in the presence of mean-field interactions. The individual admissible controls are constrained in closed convex…
We investigate the possibility of statistical evaluation of the market completeness for discrete time stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients…
In multi-agent systems, heterogeneous time delays exist for all agents because of the difference in communication environments. Therefore, the consensus analysis of a system considering a homogeneous time-varying delay among all agents…
Perfect synchronicity in $N$-player games is a useful theoretical dream, but communication delays are inevitable and may result in asynchronous interactions. Some systems such as financial markets are asynchronous by design, and yet most…
In this paper, we study the simultaneous stability problem of a finite number of locally inter-connected linear subsystems under practical constraints, including asynchronous and aperiodic sampling, time-varying delays, and measurement…
In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…
We study the stability properties of linear time-varying systems in continuous time whose system matrix is Metzler with zero row sums. This class of systems arises naturally in the context of distributed decision problems, coordination and…
This paper considers a continuous time Kyle-Back model which is a game problem between an insider and a market marker. The existing literature typically focuses on the existence of equilibrium by using the PDE approach, which requires…
We consider piecewise linear discrete time macroeconomic models, which possess a continuum of equilibrium states. These systems are obtained by replacing rational inflation expectations with a boundedly rational, and genuinely sticky,…