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Many economic interventions are designed as marginal changes in incentives. Yet in environments shaped by coordination, institutional persistence, and path dependence, such reforms often leave behavior largely unchanged. This paper studies…

We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…

A mediator can help non-cooperative agents obtain an equilibrium that may otherwise not be possible. We study the ability of players to obtain the same equilibrium without a mediator, using only cheap talk, that is, nonbinding pre-play…

This paper studies a class of strongly monotone games involving non-cooperative agents that optimize their own time-varying cost functions. We assume that the agents can observe other agents' historical actions and choose actions that best…

This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that…

We consider a class of optimal liquidation problems where the agent's transactions create transient price impact driven by a Volterra-type propagator along with temporary price impact. We formulate these problems as maximization of a…

This paper studies the timing of trades under mean-reverting price dynamics subject to fixed transaction costs. We solve an optimal double stopping problem to determine the optimal times to enter and subsequently exit the market, when…

Priced timed games (PTGs) are two-player zero-sum games played on the infinite graph of configurations of priced timed automata where two players take turns to choose transitions in order to optimize cost to reach target states. Bouyer et…

We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…

This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…

We prove that every finite two-person shortest path game, where the local cost of every move is positive for each player, has a Nash equilibrium (NE) in pure stationary strategies, which can be computed in polynomial time. We also extend…

Expanding the ideas of the author's paper 'Nonexpansive maps and option pricing theory' (Kibernetica 34:6 (1998), 713-724) we develop a pure game-theoretic approach to option pricing, by-passing stochastic modeling. Risk neutral…

In this paper, we delve into the problem of using monetary incentives to encourage players to shift from an initial Nash equilibrium to a more favorable one within a game. Our main focus revolves around computing the minimum reward required…

Westudy how a planner can design dynamic interventions to overcome status-quo inertia in living temporal games, where strategic agents control their state (active, sleep, partially dead) on a temporal network. Building on the…

We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…

Mean-payoff games on timed automata are played on the infinite weighted graph of configurations of priced timed automata between two players, Player Min and Player Max, by moving a token along the states of the graph to form an infinite…

We consider two-player stochastic games played on a finite state space for an infinite number of rounds. The games are concurrent: in each round, the two players (player 1 and player 2) choose their moves independently and simultaneously;…

Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq$ $ are widespread within economic systems. The presence of fixed minimal adjustment costs produces adjustment stickiness so that agents must choose a…

Motivated by recent progress on pricing in the AI literature, we study marketplaces that contain multiple vendors offering identical or similar products and unit-demand buyers with different valuations on these vendors. The objective of…

The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…