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Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…
This tutorial article puts forth a framework to analyze the noncooperative strategic interactions among the members of a large population of bounded rationality agents. Our approach hinges on, unifies and generalizes existing methods and…
We consider price competition among multiple sellers over a selling horizon of $T$ periods. In each period, sellers simultaneously offer their prices (which are made public) and subsequently observe their respective demand (not made…
In uniform-price markets, suppliers compete to supply a resource to consumers, resulting in a single market price determined by their competition. For sufficient flexibility, producers and consumers prefer to commit to a function as their…
We study the problem of how to coordinate the actions of independent agents in a distributed system where message arrival times are unbounded, but are determined by an exponential probability distribution. Asynchronous protocols executed in…
Enforcing state and input constraints during reinforcement learning (RL) in continuous state spaces is an open but crucial problem which remains a roadblock to using RL in safety-critical applications. This paper leverages invariant sets to…
We propose a learning-based robust predictive control algorithm that compensates for significant uncertainty in the dynamics for a class of discrete-time systems that are nominally linear with an additive nonlinear component. Such systems…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
The dynamics of an agreement protocol interacting with a disagreement process over a common random network is considered. The model can represent the spreading of true and false information over a communication network, the propagation of…
We consider a novel formulation of the dynamic pricing and demand learning problem, where the evolution of demand in response to posted prices is governed by a stochastic variant of the popular Bass model with parameters $\alpha, \beta$…
We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…
We propose an adaptive incentive mechanism that learns the optimal incentives in environments where players continuously update their strategies. Our mechanism updates incentives based on each player's externality, defined as the difference…
Multiple randomization designs (MRDs) are a class of experimental designs used to handle interference in two-sided marketplaces. We investigate regression adjustment strategies for estimating total, spillover, and direct effects in MRDs. We…
We study the effect of interim feedback policies in a dynamic all-pay auction where two players bid over two stages to win a common-value prize. We show that sequential equilibrium outcomes are characterized by Cheapest Signal Equilibria,…
In contextual dynamic pricing, a seller sequentially prices goods based on contextual information. Buyers will purchase products only if the prices are below their valuations. The goal of the seller is to design a pricing strategy that…
We introduce, in continuous time, an axiomatic approach to assign to any financial position a dynamic ask (resp. bid) price process. Taking into account both transaction costs and liquidity risk this leads to the convexity (resp. concavity)…
Our study contributes to the debate on the evolution of cooperation in the single-shot Prisoner's Dilemma (PD) played on networks. We construct a model in which individuals are connected with positive and negative ties. Some agents play…
With the increasing integration of power plants into the frequency-regulation markets, the importance of optimal trading has grown substantially. This paper conducts an in-depth analysis of their optimal trading behavior in sequential…
This paper is concerned with the death-birth updating process. This model is an example of a spatial game in which players located on the~$d$-dimensional integer lattice are characterized by one of two possible strategies and update their…