Related papers: Bounded Foresight Equilibrium in Large Dynamic Eco…
The thesis of this essay is that, in heterogeneous agent macroeconomics, the assumption of rational expectations about equilibrium prices is unrealistic and should be replaced. Rational expectations imply that decision makers forecast…
We consider dynamic stochastic economies with heterogeneous agents and introduce the concept of uniformly self-justified equilibria (USJE) -- temporary equilibria for which forecasts are best uniform approximations to a selection of the…
We study equilibrium feedback strategies for a family of dynamic mean-variance problems with competition among a large group of agents. We assume that the time horizon is random and each agent's risk aversion depends dynamically on the…
We consider finite-horizon and infinite-horizon versions of a dynamic game with $N$ selfish players who observe their types privately and take actions that are publicly observed. Players' types evolve as conditionally independent Markov…
In dynamic games with asymmetric information structure, the widely used concept of equilibrium is perfect Bayesian equilibrium (PBE). This is expressed as a strategy and belief pair that simultaneously satisfy sequential rationality and…
The efficient market hypothesis (EMH), based on rational expectations and market equilibrium, is the dominant perspective for modelling economic markets. However, the most notable critique of the EMH is the inability to model periods of…
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…
We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by…
Mean field games (MFGs) tractably model behavior in large agent populations. The literature on learning MFG equilibria typically focuses on finding Nash equilibria (NE), which assume perfectly rational agents and are hence implausible in…
We formulate and study a general time-varying multi-agent system where players repeatedly compete under incomplete information. Our work is motivated by scenarios commonly observed in online advertising and retail marketplaces, where agents…
Recent advances in mean-field game literature enable the reduction of large-scale multi-agent problems to tractable interactions between a representative agent and a population distribution. However, existing approaches typically assume a…
This paper addresses the challenge of modeling and control in hierarchical, multi-agent systems, known as holonic systems, where local agent decisions are coupled with global systemic outcomes. We introduce the Bayesian Holonic Equilibrium…
The model of a non-Bayesian agent who faces a repeated game with incomplete information against Nature is an appropriate tool for modeling general agent-environment interactions. In such a model the environment state (controlled by Nature)…
We consider in discrete time, a general class of sequential stochastic dynamic games with asymmetric information with the following features. The underlying system has Markovian dynamics controlled by the agents' joint actions. Each agent's…
We present novel techniques for neuro-symbolic concurrent stochastic games, a recently proposed modelling formalism to represent a set of probabilistic agents operating in a continuous-space environment using a combination of neural network…
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…
In this paper we study a class of infinite horizon fully coupled forward-backward stochastic differential equations (FBSDEs), that are stimulated by various continuous time future expectations models with random coefficients. Under standard…
A central challenge in physics is to describe non-equilibrium systems driven by randomness, such as a randomly growing interface, or fluids subject to random fluctuations that account e.g. for local stresses and heat fluxes not related to…
Noncooperative games with uncertain payoffs have been classically studied under the expected-utility theory framework, which relies on the strong assumption that agents behave rationally. However, simple experiments on human decision makers…
Systems of competing agents can often be modeled as games. Assuming rationality, the most likely outcomes are given by an equilibrium (e.g. a Nash equilibrium). In many practical settings, games are influenced by context, i.e. additional…