Related papers: Macroscopic Market Making Games via Multidimension…
Two-sided matchings are an important theoretical tool used to model markets and social interactions. In many real life problems the utility of an agent is influenced not only by their own choices, but also by the choices that other agents…
We study a mathematical model for revenue management under competition with multiple sellers. The model combines the stochastic knapsack problem, a classic revenue management model, with a non coorperative game model that characterizes the…
We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange. The exchange wishes to establish a suitable make-take fees policy to attract transactions on its venues. We first solve the stochastic…
This paper builds on the work of Degond, Herty and Liu by considering N-player stochastic differential games. The control corresponding to a Nash equilibrium of such a game is approximated through model predictive control (MPC) techniques.…
Today's multiagent systems have grown too complex to rely on centralized controllers, prompting increasing interest in the design of distributed algorithms. In this respect, game theory has emerged as a valuable tool to complement more…
Pricing decisions stand out as one of the most critical tasks a company faces, particularly in today's digital economy. As with other business decision-making problems, pricing unfolds in a highly competitive and uncertain environment.…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
We characterize zonal ancillary market coupling relying on noncooperative game theory. To that purpose, we formulate the ancillary market as a multi-leader single follower bilevel problem, that we subsequently cast as a generalized Nash…
Consider discrete-time linear distributed averaging dynamics, whereby agents in a network start with uncorrelated and unbiased noisy measurements of a common underlying parameter (state of the world) and iteratively update their estimates…
Stochastic games are a popular framework for studying multi-agent reinforcement learning (MARL). Recent advances in MARL have focused primarily on games with finitely many states. In this work, we study multi-agent learning in stochastic…
Distributed model predictive control (MPC) is either cooperative or competitive, and control-theoretic properties have been less studied in the competitive (e.g., game theory) setting. This paper studies MPC with linear dynamics and a…
We introduce a simple benchmark model of dynamic matching in networked markets, where agents arrive and depart stochastically and the network of acceptable transactions among agents forms a random graph. We analyze our model from three…
Mean field games are studied by means of the weak formulation of stochastic optimal control. This approach allows the mean field interactions to enter through both state and control processes and take a form which is general enough to…
We introduce a class of robust control problems formulated in min-max form, in which the principal agent is viewed as a central planner facing Nature. The agent's cost is a nonlinear function of all its possible realizations, encompassing…
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…
Markov games with coupling constraints model constrained dynamical decision-making involving self-interested agents, where the feasibility of an individual agent's strategy depends on the joint strategies of the others. Such games arise in…
This paper considers mean field games in a multi-agent Markov decision process (MDP) framework. Each player has a continuum state and binary action, and benefits from the improvement of the condition of the overall population. Based on an…
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics. Using the CRSP Database of the US equity…
We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical…
In this paper, I introduce a profit-maximizing centralized marketplace into a decentralized market with search frictions. Agents choose between the centralized marketplace and the decentralized bilateral trade. I characterize the optimal…