Related papers: Can Nash inform capital requirements? Allocating s…
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of $N$ banks is described by coupled diffusions driven by controls with delay in their drifts.…
In nature and society problems arise when different interests are difficult to reconcile, which are modeled in game theory. While most applications assume uncorrelated games, a more detailed modeling is necessary to consider the…
The aim of this paper is to study a new methodological framework for systemic risk measures by applying deep learning method as a tool to compute the optimal strategy of capital allocations. Under this new framework, systemic risk measures…
Nash equilibrium serves as a fundamental mathematical tool in economics and game theory. However, it classically assumes knowledge of player utilities, whereas economics generally regards preferences as more fundamental. To leverage…
We consider multi-agent decision making where each agent optimizes its convex cost function subject to individual and coupling constraints. The constraint sets are compact convex subsets of a Euclidean space. To learn Nash equilibria, we…
There has been significant recent interest in game-theoretic approaches to security, with much of the recent research focused on utilizing the leader-follower Stackelberg game model. Among the major applications are the ARMOR program…
We study two different contributions to the theory of (scalar) systemic risk measures. Namely the first aggregate or axiomatic approach and the first inject capital approach. For this purpose we establish a general framework, which is rich…
A growing body of literature in networked systems research relies on game theory and mechanism design to model and address the potential lack of cooperation between self-interested users. Most game-theoretic models applied to system…
This article proposes a new class of risk-sharing rules by exploring the relationship between capital allocation and risk sharing. While the former is concerned with ex-ante allocating capitals to different lines of business within a…
The banking systems that deal with risk management depend on underlying risk measures. Following the Basel II accord, there are two separate methods by which banks may determine their capital requirement. The Value at Risk measure plays an…
This paper studies manipulation of belief aggregation rules in the setting where the society first collects individual's probabilistic opinions and then solves a public portfolio choice problem with common utility based on the aggregate…
We consider a gossip approach for finding a Nash equilibrium in a distributed multi-player network game. We extend previous results on Nash equilibrium seeking to the case when the players' cost functions may be affected by the actions of…
The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market participants. In compliance with an approach…
This paper considers a distributed gossip approach for finding a Nash equilibrium in networked games on graphs. In such games a player's cost function may be affected by the actions of any subset of players. An interference graph is…
In the field of international security, understanding the strategic interactions between countries within a networked context is crucial. Our previous research has introduced a ``games-on-signed graphs'' framework~\cite{LiMorse2022} to…
The distributed task allocation problem, as one of the most interesting distributed optimization challenges, has received considerable research attention recently. Previous works mainly focused on the task allocation problem in a population…
Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use…
We consider network aggregative games to model and study multi-agent populations in which each rational agent is influenced by the aggregate behavior of its neighbors, as specified by an underlying network. Specifically, we examine systems…
In this paper, we explore aggregative games over networks of multi-integrator agents with coupled constraints. To reach the general Nash equilibrium of an aggregative game, a distributed strategy-updating rule is proposed by a combination…
This paper aims to design a distributed coordination algorithm for solving a multi-agent decision problem with a hierarchical structure. The primary goal is to search the Nash equilibrium of a noncooperative game such that each player has…