Related papers: Optimal risk-aware interest rates for decentralize…
Decentralized online planning can be an attractive paradigm for cooperative multi-agent systems, due to improved scalability and robustness. A key difficulty of such approach lies in making accurate predictions about the decisions of other…
We present a decentralized minimum-time trajectory optimization scheme based on learning model predictive control for multi-agent systems with nonlinear decoupled dynamics and coupled state constraints. By performing the same task…
In order to scale transaction rates for deployment across the global web, many cryptocurrencies have deployed so-called "Layer-2" networks of private payment channels. An idealized payment network behaves like a Credit Network, a model for…
This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is…
We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset (no transaction…
We present the first formal treatment of \emph{yield tokenization}, a mechanism that decomposes yield-bearing assets into principal and yield components to facilitate risk transfer and price discovery in decentralized finance (DeFi). We…
In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and…
We study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk…
Consider a remote estimation problem where a sensor wants to communicate the state of an uncertain source to a remote estimator over a finite time horizon. The uncertain source is modeled as an autoregressive process with bounded noise.…
Resource reservation is a fundamental mechanism for ensuring quality of service in time-sensitive networks, which can be decentralized by using reservation protocols. In the Ethernet technology Time-Sensitive Networking, this has been…
The paper studies a system of Hamilton-Jacobi equations, arising from a stochastic optimal debt management problem in an infinite time horizon with exponential discount, modeled as a noncooperative interaction between a borrower and a pool…
We analyze Decentralized Online Optimization algorithms using the Performance Estimation Problem approach which allows, to automatically compute exact worst-case performance of optimization algorithms. Our analysis shows that several…
This paper presents an optimal peer-to-peer (P2P) energy transaction mechanism leveraging decentralized blockchain technology to enable a secure and scalable retail electricity market for the increasing penetration of distributed energy…
The rise of Decentralized Finance ("DeFi") on the Ethereum blockchain has enabled the creation of lending platforms, which serve as marketplaces to lend and borrow digital currencies. We first categorize the activity of lending platforms…
Blockchain technology ensures secure and trustworthy data flow between multiple participants on the chain, but interoperability of on-chain and off-chain data has always been a difficult problem that needs to be solved. To solve the problem…
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…
Automated Market Makers (AMMs) have cemented themselves as an integral part of the decentralized finance (DeFi) space. AMMs are a type of exchange that allows users to trade assets without the need for a centralized exchange. They form the…
This paper studies the consensus problem of heterogeneous multi-agent systems by the feedforward control and linear quadratic (LQ) optimal control theory. Different from the existing consensus control algorithms, which require to design an…
When multiple agents learn in a decentralized manner, the environment appears non-stationary from the perspective of an individual agent due to the exploration and learning of the other agents. Recently proposed deep multi-agent…
This paper studies decentralized online convex optimization in a networked multi-agent system and proposes a novel algorithm, Learning-Augmented Decentralized Online optimization (LADO), for individual agents to select actions only based on…