Related papers: Competitive optimal portfolio selection under mean…
A fundamental open problem in monotone game theory is the computation of a specific generalized Nash equilibrium (GNE) among all the available ones, e.g. the optimal equilibrium with respect to a system-level objective. The existing GNE…
In a framework close to the one developed by Holmstr\"om and Milgrom [44], we study the optimal contracting scheme between a Principal and several Agents. Each hired Agent is in charge of one project, and can make efforts towards managing…
We investigate the effects of competition in a problem of resource extraction from a common source with diffusive dynamics. In the symmetric version with identical extraction rates we prove the existence of a Nash equilibrium where the…
This paper considers decentralized control and optimization methodologies for large populations of systems, consisting of several agents with different individual behaviors, constraints and interests, and affected by the aggregate behavior…
Inspired by successful biological collective decision mechanisms such as honey bees searching for a new colony or the collective navigation of fish schools, we consider a mean field games (MFG)-like scenario where a large number of agents…
We study equilibrium concepts in non-cooperative games under uncertainty where both beliefs and mixed strategies are represented by non-additive measures (capacities). In contrast to the classical Nash framework based on additive…
We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with deterministic transition function for which the Bellman optimality equation holds.…
Consider discrete-time linear distributed averaging dynamics, whereby agents in a network start with uncorrelated and unbiased noisy measurements of a common underlying parameter (state of the world) and iteratively update their estimates…
We study learning dynamics induced by strategic agents who repeatedly play a game with an unknown payoff-relevant parameter. In each step, an information system estimates a belief distribution of the parameter based on the players'…
We study a portfolio optimization problem for competitive agents with CRRA utilities and a common finite time horizon. The utility of an agent depends not only on her absolute wealth and consumption but also on her relative wealth and…
Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players…
We study the distribution of strategies in a large game that models how agents choose among different double auction markets. We classify the possible mean field Nash equilibria, which include potentially segregated states where an agent…
This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average…
Mean field games are studied by means of the weak formulation of stochastic optimal control. This approach allows the mean field interactions to enter through both state and control processes and take a form which is general enough to…
Multiagent learning settings are inherently more difficult than single-agent learning because each agent interacts with other simultaneously learning agents in a shared environment. An effective approach in multiagent reinforcement learning…
This thesis is going to give a gentle introduction to Mean Field Games. It aims to produce a coherent text beginning for simple notions of deterministic control theory progressively to current Mean Field Games theory. The framework…
We study the design of decision-making mechanism for resource allocations over a multi-agent system in a dynamic environment. Agents' privately observed preference over resources evolves over time and the population is dynamic due to the…
Many policy problems involve designing individualized treatment allocation rules to maximize the equilibrium social welfare of interacting agents. Focusing on large-scale simultaneous decision games with strategic complementarities, we…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic…