Related papers: Multiperiod Groundwater Markets
We formulate and study a general time-varying multi-agent system where players repeatedly compete under incomplete information. Our work is motivated by scenarios commonly observed in online advertising and retail marketplaces, where agents…
Model-free learning for multi-agent stochastic games is an active area of research. Existing reinforcement learning algorithms, however, are often restricted to zero-sum games, and are applicable only in small state-action spaces or other…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
This article is related to risk-sensitive nonzero-sum stochastic differential games in the Markovian framework. This game takes into account the attitudes of the players toward risk and the utility is of exponential form. We show the…
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…
With the increasing integration of power plants into the frequency-regulation markets, the importance of optimal trading has grown substantially. This paper conducts an in-depth analysis of their optimal trading behavior in sequential…
We study data exchange among strategic agents without monetary transfers, motivated by domains such as research consortia and healthcare collaborations where payments are infeasible or restricted. The central challenge is to reap the…
Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…
We study Nash equilibria learning of a general-sum stochastic game with an unknown transition probability density function. Agents take actions at the current environment state and their joint action influences the transition of the…
In recent years, there has been a significant focus on advancing the next generation of power systems. Despite these efforts, persistent challenges revolve around addressing the operational impact of uncertainty on predicted data,…
Contemporary process industries are constantly confronted with volatile market conditions that jeopardise their financial sustainability. While mature markets transition to oligopoly structures, the supply chain operation should adapt to a…
Water quantity and quality are vital indices for assessing fluvial environments. These indices are highly variable over time and include sub-exponential memory, where the influences of past events persist over long durations. Moreover,…
This paper introduces an equilibrium framework based on sequential sampling in which players face strategic uncertainty over their opponents' behavior and acquire informative signals to resolve it. Sequential sampling equilibrium delivers a…
We formulate a general framework for competitive gradient-based learning that encompasses a wide breadth of multi-agent learning algorithms, and analyze the limiting behavior of competitive gradient-based learning algorithms using dynamical…
The integration of microgrids that depend on the renewable distributed energy resources with the current power systems is a critical issue in the smart grid. In this paper, we propose a non-cooperative game-theoretic framework to study the…
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…
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…
In this paper, we bring consumer theory to bear in the analysis of Fisher markets whose buyers have arbitrary continuous, concave, homogeneous (CCH) utility functions representing locally non-satiated preferences. The main tools we use are…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…