Related papers: Aggregate Stable Matching with Money Burning
We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash invariant time-consistent monetary utilities. An assumption of…
We study a generalization of the model of a dark market due to Duffie-G\^arleanu- Pedersen [6]. Our market is segmented and involves multiple assets. We show that this market has a unique asymptotically stable equilibrium. In order to…
Recently, energetic variational approach was employed to derive models for non-isothermal electrokinetics by Liu et. al \cite{Liu-Wu-Liu-CMS2018}. In particular, the Poisson-Nernst-Planck-Fourier (PNPF) system for the dynamics of $N$-ionic…
We derive a universal thermodynamic uncertainty relation (TUR) that applies to an arbitrary observable in a general Markovian system. The generality of our result allows us to make two findings: (1) for an arbitrary out-of-equilibrium…
This paper considers an initial market model, specified by its underlying assets $S$ and its flow of information $\mathbb F$, and an arbitrary random time $\tau$ which might not be an $\mathbb F$-stopping time. As the death time and the…
In many multi-agent settings, participants can form teams to achieve collective outcomes that may far surpass their individual capabilities. Measuring the relative contributions of agents and allocating them shares of the reward that…
We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded…
We study networks of interacting queues governed by utility-maximising service-rate allocations in both discrete and continuous time. For {\em finite} networks we establish stability and some steady-state moment bounds under natural…
In this paper we show that when individuals in a bipartite network exclusively choose partners and exchange valued goods with their partners, then there exists a set of exchanges that are pair-wise stable. Pair-wise stability implies that…
This paper analyzes the role of money in asset markets characterized by search frictions. We develop a dynamic framework that brings together a model for illiquid financial assets `a la Duffie, Garleanu, and Pedersen, and a search-theoretic…
We present a formal framework for the aggregation of financial markets mediated by arbitrage. Our main tool is to characterize markets via utility functions and to employ a one-to-one correspondence to limit order book states. Inspired by…
Motivated by applications in job scheduling, queuing networks, and load balancing in cyber-physical systems, we develop and analyze a game-theoretic framework to balance the load among servers in static and dynamic settings. In these…
We focus on the one-to-one two-sided matching model with two disjoint sets of agents of equal size, where each agent in a set has preferences on the agents in the other set modeled by a linear order. A matching mechanism associates a set of…
We consider the model introduced by Bilu and Linial (2010), who study problems for which the optimal clustering does not change when distances are perturbed. They show that even when a problem is NP-hard, it is sometimes possible to obtain…
We study a statistical model consisting of $N$ basic units which interact with each other by exchanging a physical entity, according to a given microscopic random law, depending on a parameter $\lambda$. We focus on the equilibrium or…
We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterogeneous risk-aversion coefficients and…
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…
We offer mathematical tractability and new insights for a framework of exponential utility with non-negative consumption, a constraint often omitted in the literature giving rise to economically unviable solutions. Specifically, using the…
This paper deals with N-person nonzero-sum discrete-time Markov games under a probability criterion, in which the transition probabilities and reward functions are allowed to vary with time. Differing from the existing works on the expected…
In a stable matching problem there are two groups of agents, with agents on one side having their individual preferences for agents on another side as a potential match. It is assumed silently that agents can freely and costlessly ``switch"…