Related papers: Can Nash inform capital requirements? Allocating s…
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of…
We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov Nash equilibrium generated through minimizing the linear…
Distributed Nash equilibrium (NE) seeking problem for multi-coalition games has attracted increasing attention in recent years, but the research mainly focuses on the case without agreement demand within coalitions. This paper considers a…
Nash equilibrium is a key concept in game theory fundamental for elucidating the equilibrium state of strategic interactions, finding applications in diverse fields such as economics, political science, and biology. However, the Nash…
We consider a distributed stochastic approximation (SA) scheme for computing an equilibrium of a stochastic Nash game. Standard SA schemes employ diminishing steplength sequences that are square summable but not summable. Such requirements…
This work considers stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. We develop a new framework to prove convergence…
This paper introduces two fundamentally new concepts to game theory: multilateral Nash equilibria and families of games. Starting with non-cooperative games, we show how these notions together seamlessly integrate into and naturally extend…
We study a game-theoretic variant of the maximum circulation problem. In a flow allocation game, we are given a directed flow network. Each node is a rational agent and can strategically allocate any incoming flow to the outgoing edges.…
Game-theoretic analyses of distributed and peer-to-peer systems typically use the Nash equilibrium solution concept, but this explicitly excludes the possibility of strategic behavior involving more than one agent. We examine the effects of…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
A growing line of work reframes preference-based fine-tuning of large language models game-theoretically: Nash Learning from Human Feedback (NLHF) recasts the problem as a zero-sum game over policies. However, optimization is over expected…
Regulation and risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper we suggest that the reporting of risk measures can be used to determine the loss…
This paper introduces a novel class of multi-stage resource allocation games that model real-world scenarios in which profitability depends on the balance between supply and demand, and where higher resource investment leads to greater…
This paper develops a distributed resource allocation game to study countries' pursuit of targets such as self-survival in the networked international environment. The contributions are two. First, the game formalizes countries' power…
In this paper, an aggregate game approach is proposed for the modeling and analysis of energy consumption control in smart grid. Since the electricity user's cost function depends on the aggregate load, which is unknown to the end users, an…
Learning in games provides a powerful framework to design control policies for self-interested agents that may be coupled through their dynamics, costs, or constraints. We consider the case where the dynamics of the coupled system can be…
In general, Nash equilibria in normal-form games may require players to play (probabilistically) mixed strategies. We define a measure of the complexity of finite probability distributions and study the complexity required to play Nash…
This paper investigates online stochastic aggregative games subject to local set constraints and time-varying coupled inequality constraints, where each player possesses a time-varying expectation-valued cost function relying on not only…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…