Related papers: Optimal risk-aware interest rates for decentralize…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
Permissionless blockchains offer an information environment where users can interact privately without fear of censorship. Financial services can be programmatically coded via smart contracts to automate transactions without the need for…
Decentralized Finance (DeFi) applications introduce novel financial instruments replicating and extending traditional ones through blockchain-based smart contracts. Among these applications, DeFi derivatives protocols enable the creation…
This paper discusses a new approximation method for operators which are solution to an operational Riccati equation (ORE). The latter is derived from the theory of optimal control of linear problems posed in Hilbert spaces. The…
Optimally solving decentralized decision-making problems modeled as Dec-POMDPs is known to be NEXP-complete. These optimal solutions are policies based on the entire history of observations and actions of an agent. However, some…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
Blockchain and blockchain-inspired decentralized applications are on the rise thanks to their unique characteristics such as their decentralized nature, anonymity, and tamper-proof nature; however, blockchain transactions tend to experience…
We study decentralized optimization over networks where agents cooperatively minimize a smooth (strongly) convex sum of local losses while communicating only with immediate neighbors. Prevailing decentralized methods require either…
Decentralized finance introduces new business models and use cases as part of digital finance. Restaking has recently emerged as a transformative mechanism in DeFi, promising extra yields but introducing complex and interconnected risks.…
We consider a prediction market in which all aspects are controlled by market forces, in particular the correct outcomes of events are decided by the market itself rather than by trusted arbiters. This kind of a decentralized prediction…
Decentralised Finance (DeFi) applications constitute an entire financial ecosystem deployed on blockchains. Such applications are based on complex protocols and incentive mechanisms whose financial safety is hard to determine. Besides,…
Motivated by the emergence of decentralized machine learning (ML) ecosystems, we study the delegation of data collection. Taking the field of contract theory as our starting point, we design optimal and near-optimal contracts that deal with…
Matching algorithms have demonstrated great success in several practical applications, but they often require centralized coordination and plentiful information. In many modern online marketplaces, agents must independently seek out and…
We study the problem of networked online convex optimization, where each agent individually decides on an action at every time step and agents cooperatively seek to minimize the total global cost over a finite horizon. The global cost is…
This paper develops a novel approach to the consensus problem of multi-agent systems by minimizing a weighted state error with neighbor agents via linear quadratic (LQ) optimal control theory. Existing consensus control algorithms only…
Banks in the interbank network can not assess the true risks associated with lending to other banks in the network, unless they have full information on the riskiness of all the other banks. These risks can be estimated by using network…
We examine optimal regulation of financial networks with debt interdependencies between financial firms. We first show that firms often have an incentive to choose excessively risky portfolios and overly correlate their portfolios with…
The present paper considers leveraging network topology information to improve the convergence rate of ADMM for decentralized optimization, where networked nodes work collaboratively to minimize the objective. Such problems can be solved…
We consider a decision network on an undirected graph in which each node corresponds to a decision variable, and each node and edge of the graph is associated with a reward function whose value depends only on the variables of the…
This paper maps the emerging market for decentralized credit in which ERC 4626 vaults and third-party curators, rather than monolithic lending protocols alone, increasingly determine underwriting and leverage decisions. We show that modular…