Related papers: Noise-induced stochastic Nash equilibrium
While noise is generally associated with uncertainties and often has a negative connotation in engineering, living organisms have evolved to adapt to (and even exploit) such uncertainty to ensure the survival of a species or implement…
We study a generalization of the Heston model, which consists of two coupled stochastic differential equations, one for the stock price and the other one for the volatility. We consider a cubic nonlinearity in the first equation and a…
We consider stochastic partial differential equations (SPDEs) on the one-dimensional torus, driven by space-time white noise, and with a time-periodic drift term, which vanishes on two stable and one unstable equilibrium branches. Each of…
We introduce an analytical model to study the evolution towards equilibrium in spatial games, with `memory-aware' agents, i.e., agents that accumulate their payoff over time. In particular, we focus our attention on the spatial Prisoner's…
A fundamental shortcoming of the concept of Nash equilibrium is its computational intractability: approximating Nash equilibria in normal-form games is PPAD-hard. In this paper, inspired by the ideas of smoothed analysis, we introduce a…
A continuous-time average consensus system is a linear dynamical system defined over a graph, where each node has its own state value that evolves according to a simultaneous linear differential equation. A node is allowed to interact with…
We consider for the first time a stochastic generalized Nash equilibrium problem, i.e., with expected-value cost functions and joint feasibility constraints, under partial-decision information, meaning that the agents communicate only with…
We consider the influence of local noise on a generalized network of populations having positive and negative feedbacks. The population dynamics at the nodes is nonlinear, typically chaotic, and allows cessation of activity if the…
Coordination games admit two types of equilibria: pure equilibria, where all players successfully coordinate their actions, and mixed equilibria, where players frequently experience miscoordination. The existing literature shows that under…
In a society of completely selfish individuals where everybody is only interested in maximizing his own payoff, does any equilibrium exist for the society? John Nash proved more than 50 years ago that an equilibrium always exists such that…
We consider a population living in a patchy environment that varies stochastically in space and time. The population is composed of two morphs (that is, individuals of the same species with different genotypes). In terms of survival and…
The archetypal system demonstrating stochastic resonance is nothing more than a threshold triggered device. It consists of a periodic modulated input and noise. Every time an output crosses the threshold the signal is recorded. Such a…
We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…
Natural Evolution Strategies (NES) is a promising framework for black-box continuous optimization problems. NES optimizes the parameters of a probability distribution based on the estimated natural gradient, and one of the key parameters…
In this paper, we consider game problems played by (multi)-integrator agents, subject to external disturbances. We propose Nash equilibrium seeking dynamics based on gradient-play, augmented with a dynamic internal-model based component,…
The dynamics of a two-species community of $N$ competing individuals is considered, with an emphasis on the role of environmental variations that affect coherently the fitness of entire populations. The chance of fixation of a mutant…
Noise Contrastive Estimation (NCE) is a powerful parameter estimation method for log-linear models, which avoids calculation of the partition function or its derivatives at each training step, a computationally demanding step in many cases.…
In Keynesian Beauty Contests notably modeled by p-guessing games, players try to guess the average of guesses multiplied by p. Convergence of plays to Nash equilibrium has often been justified by agents' learning. However, interrogations…
We study the wellposedness and pathwise regularity of semilinear non-autonomous parabolic evolution equations with boundary and interior noise in an $L^p$ setting. We obtain existence and uniqueness of mild and weak solutions. The boundary…
In the traditional game-theoretic set up, where agents select actions and experience corresponding utilities, an equilibrium is a configuration where no agent can improve their utility by unilaterally switching to a different action. In…