Related papers: The Time-Interlaced Self-Consistent Master System …
Solving an output consensus problem in multi-agent systems is often hindered by multiple time-variant delays. To address such fundamental problems over time, we present a new optimal time-variant distributed control for linearly perturbed…
A network of noisy bistable elements with global time-delayed couplings is considered. A dichotomous mean field model has recently been developed describing the collective dynamics in such systems with uniform time delays near the…
The dual crises of the sub-prime mortgage crisis and the global financial crisis has prompted a call for explanations of non-equilibrium market dynamics. Recently a promising approach has been the use of agent based models (ABMs) to…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
We analyze stability of consensus algorithms in networks of multi-agents with time-varying topologies and delays. The topology and delays are modeled as induced by an adapted process and are rather general, including i.i.d.\ topology…
We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We…
We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling…
A group behavior of a heterogeneous multi-agent system is studied which obeys an "average of individual vector fields" under strong couplings among the agents. Under stability of the averaged dynamics (not asking stability of individual…
The problem of load balancing in a distribution network under unknown time- varying demand and supply is studied. A set of distributed controllers which regulate the amount of flow through the edges is designed to guarantee convergence of…
This work addresses the synchronization/consensus problem of identical multi-agent system (MAS) where the agents' dynamics are linear and the communication network is arbitrarily switching among connected topologies. The approach uses a…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is…
The paper addresses the synchronization of multi-agent systems with continuous-time dynamics interacting through a very general class of monotonic continuous signal functions that covers estimation biases, approximation of discrete…
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and…
This paper proposes a new equilibrium concept "robust perfect equilibrium" for non-cooperative games with a continuum of players, incorporating three types of perturbations. Such an equilibrium is shown to exist (in symmetric mixed…
This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders, and competitive market makers who…
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field…
Many algorithms have been proposed in prior literature to guarantee resilient multi-agent consensus in the presence of adversarial attacks or faults. The majority of prior work present excellent results that focus on discrete-time or…
In an incomplete continuous-time securities market with uncertainty generated by Brownian motions, we derive closed-form solutions for the equilibrium interest rate and market price of risk processes. The economy has a finite number of…