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We study a heterogeneous agent macroeconomic model with an infinite number of households and firms competing in a labor market. Each household earns income and engages in consumption at each time step while aiming to maximize a concave…

In a continuous-time Kyle setting, we prove global existence of an equilibrium when the insider faces a terminal trading constraint. We prove that our equilibrium model produces output consistent with several empirical stylized facts such…

On many dimensions, services can be seen to exist along spectra measuring the degree of interaction between customer and agent. For instance, every interaction features some number of contributions by each of those two sides, creating a…

This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…

We suggest a new approach to creation of general market equilibrium models involving economic agents with local and partial knowledge about the system and under different restrictions. The market equilibrium problem is then formulated as a…

In this paper, we consider a robust consensus tracking problem of heterogeneous multi-agent systems with time-varying interconnection topologies. Based on common Lyapunov function and internal model techniques, both state and output…

In this paper, we explore the use of a deep residual U-net with self-attention to solve the the continuous time time-consistent mean variance optimal trade execution problem for multiple agents and assets. Given a finite horizon we…

This article gives the explicit solution to a general vector time series model that describes interacting, heterogeneous agents that operate under uncertainties but according to Keynesian principles, from which a model for business cycle is…

This work shows an approach to achieve output consensus among heterogeneous agents in a multi-agent environment where each agent is subject to input constraints. The communication among agents is described by a time-varying…

This paper presents a solution to the automatic task planning problem for multi-agent systems. A formal framework is developed based on the Nondeterministic Finite Automata with $\epsilon$-transitions, where given the capabilities,…

Autonomous and learning agents increasingly participate in markets - setting prices, placing bids, ordering inventory. Such agents are not just aiming to optimize in an uncertain environment; they are making decisions in a game-theoretical…

This paper focuses on consensus problems for high-order, linear multi-agent systems. Undirected communication topologies and fixed, uniform communication time delay are taken into account. This class of problems has been widely study in the…

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…

Financial markets are often modelled as if time were unique and continuous across assets and markets. Financial markets are however asynchronous, order flow is event-driven, and waiting times between events are often random. Many of the…

In this chapter, an input-output economic model with multiple interactive economic systems is considered. The model captures the multi-dimensional nature of the economic sectors or industries in each economic system, the interdependencies…

We formulate and study a general time-varying multi-agent system where players repeatedly compete under incomplete information. Our work is motivated by scenarios commonly observed in online advertising and retail marketplaces, where agents…

We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…

We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For…

We propose an optimal portfolio problem in the incomplete market where the underlying assets depend on economic factors with delayed effects, such models can describe the short term forecasting and the interaction with time lag among…

This paper investigates the distributed consensus tracking control problem for general linear multi-agent systems (MASs) with external disturbances and heterogeneous time-varying input and communication delays under a directed communication…