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We consider a class of Wasserstein distributionally robust Nash equilibrium problems, where agents construct heterogeneous data-driven Wasserstein ambiguity sets using private samples and radii, in line with their individual risk-averse…
We consider the basic problem of approximating Nash equilibria in noncooperative games. For monotone games, we design continuous time flows which converge in an averaged sense to Nash equilibria. We also study mean field equilibria, which…
We consider a resource extraction problem which extends the classical de Finetti problem for a Wiener process to include the case when a competitor, who is equipped with the possibility to extract all the remaining resources in one piece,…
We study power control in optimization and game frameworks. In the optimization framework there is a single decision maker who assigns network resources and in the game framework users share the network resources according to Nash…
We consider a market in which both suppliers and consumers compete for a product via scalar-parameterized supply offers and demand bids. Scalar-parameterized offers/bids are appealing due to their modeling simplicity and desirable…
A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows…
Traders constantly consider the price impact associated with changing their positions. This paper seeks to understand how price impact emerges from the quoting strategies of market makers. To this end, market making is modeled as a dynamic…
We study a Stackelberg strategy subject to the evolutionary linearized micropolar fluids equations in domains with moving boundaries, considering a Nash multi-objective equilibrium (non necessarily cooperative) for the "follower players"…
We present and analyze a model for the evolution of the wealth distribution within a heterogeneous economic environment. The model considers a system of rational agents interacting in a game theoretical framework, through fairly general…
If a game has a unique Nash equilibrium, then this equilibrium is arguably the solution of the game from the refinement's literature point of view. However, it might be that for almost all initial conditions, all strategies in the support…
Many economic transactions, including those of online markets, have a time lag between the start and end times of transactions. Customers need to wait for completion of their transaction (order fulfillment) and hence are also interested in…
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…
Nash equilibrium is used as a model to explain the observed behavior of players in strategic settings. For example, in many empirical applications we observe player behavior, and the problem is to determine if there exist payoffs for the…
Forecast reconciliation is considered an effective method to achieve coherence (within a forecast hierarchy) and to improve forecast quality. However, the value of reconciled forecasts in downstream decision-making tasks has been mostly…
Art heritage cities are popular tourist destinations but for many of them overcrowding is becoming an issue. In this paper, we address the problem of modeling and analytically studying the flow of tourists along the narrow alleys of the…
This thesis is going to give a gentle introduction to Mean Field Games. It aims to produce a coherent text beginning for simple notions of deterministic control theory progressively to current Mean Field Games theory. The framework…
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary information, exposure to idiosyncratic risk, or a mix of both…
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for…
We introduce a new mean field kinetic model for systems of rational agents interacting in a game theoretical framework. This model is inspired from non-cooperative anonymous games with a continuum of players and Mean-Field Games. The large…
We focus on an optimal control problem, introduced by Bressan and Shen as a model for fish harvesting. We consider the time-dependent case and we establish existence and uniqueness of an optimal strategy, and sufficient conditions for…