相关论文: De Finetti's control problem with competition

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…

We consider two-player contests with the possibility of ties and study the effect of different tie-breaking rules on effort. For ratio-form and difference-form contests that admit pure-strategy Nash equilibrium, we find that the effort of…

Drawing intuition from a (physical) hydraulic system, we present a novel framework, constructively showing the existence of a strong Nash equilibrium in resource selection games (i.e., asymmetric singleton congestion games) with nonatomic…

I study symmetric competitions in which each player chooses an arbitrary distribution over a one-dimensional performance index, subject to a convex cost. I establish existence of a symmetric equilibrium, document various properties it must…

We model a system of n asymmetric firms selling a homogeneous good in a common market through a pay-as-bid auction. Every producer chooses as its strategy a supply function returning the quantity S(p) that it is willing to sell at a minimum…

This paper proposes a novel energy sharing mechanism for prosumers who can produce and consume. Different from most existing works, the role of individual prosumer as a seller or buyer in our model is endogenously determined. Several…

We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…

We study the price competition in a duopoly with an arbitrary number of buyers. Each seller can offer multiple units of a commodity depending on the availability of the commodity which is random and may be different for different sellers.…

We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading strategies and their equilibrium price impact…

We develop a probabilistic consumer choice framework based on information asymmetry between consumers and firms. This framework makes it possible to study market competition of several firms by both quality and price of their products. We…

Building upon the results in [Hinterm\"uller et al., SIAM J. Optim, '15], generalized Nash equilibrium problems are considered, in which the feasible set of each player is influenced by the decisions of their competitors. This is realized…

We study a class of games which model the competition among agents to access some service provided by distributed service units and which exhibit congestion and frustration phenomena when service units have limited capacity. We propose a…

In this paper, we introduce a preliminary model for interactions in the data market. Recent research has shown ways in which a data aggregator can design mechanisms for users to ensure the quality of data, even in situations where the users…

We study how to incentivize agents in a target group to produce a higher output in the context of incomplete information, by means of rank-order allocation contests. We describe a symmetric Bayes--Nash equilibrium for contests that have two…

We study how increasing competition, by making prizes more unequal, affects effort in contests. In a finite type-space environment, we characterize the equilibrium, analyze the effect of competition under linear costs, and identify…

We study competitive resource allocation problems in which players distribute their demands integrally on a set of resources subject to player-specific submodular capacity constraints. Each player has to pay for each unit of demand a cost…

We explore stability and fairness considerations in decentralized networked markets with bilateral contracts, building on the trading networks framework [Hatfield et al., 2013]. In our trading network game, we show that a well-defined…

Many applications of RCTs involve the presence of multiple treatment administrators -- from field experiments to online advertising -- that compete for the subjects' attention. In the face of competition, estimating a causal effect becomes…

This work investigates the existence and uniqueness of the Nash equilibrium (solutions to competitive problems in which individual controls aim at separate desired states) for a bi-objective optimal control problem governed by a fractional…

Cournot competition is a fundamental economic model that represents firms competing in a single market of a homogeneous good. Each firm tries to maximize its utility---a function of the production cost as well as market price of the…