相关论文: Asymptotically optimal strategies in a diffusion a…

In this work we consider an agent based model in order to study the wealth distribution problem where the interchange is determined with a symmetric zero sum game. Simultaneously, the agents update their way of play trying to learn the…

We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…

We consider a stochastic game-theoretic model of a discrete-time asset market with short-lived assets and endogenous asset prices. We prove that the strategy which invests in the assets proportionally to their expected relative payoffs…

We propose a multi-agent model of an asset market and study conditions that guarantee that the strategy of an individual agent cannot outperform the market. The model assumes a mean-field approximation of the market by considering an…

We consider a game-theoretic model of a market where investors compete for payoffs yielded by several assets. The main result consists in a proof of the existence and uniqueness of a strategy, called relative growth optimal, such that the…

In financial markets, agents often mutually influence each other's investment strategies and adjust their strategies to align with others. However, there is limited quantitative study of agents' investment strategies in such scenarios. In…

A multi-agent system operates in an uncertain environment about which agents have different and time varying beliefs that, as time progresses, converge to a common belief. A global utility function that depends on the realized state of the…

In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…

Repeated games have a long tradition in the behavioral sciences and evolutionary biology. Recently, strategies were discovered that permit an unprecedented level of control over repeated interactions by enabling a player to unilaterally…

We consider a large community of individuals who mix strongly and meet in pairs to bet on a coin toss. We investigate the asset distribution of the players involved in this zero-sum repeated game. Our main result is that the asset…

We study the value and the optimal strategies for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our Bayesian set-up, the drift of the underlying diffusion process is unknown to one player…

Mean-field games have been studied under the assumption of very large number of players. For such large systems, the basic idea consists to approximate large games by a stylized game model with a continuum of players. The approach has been…

We consider an autonomous navigation problem, whereby a traveler aims at traversing an environment in which an adversary tries to set an ambush. A two players zero sum game is introduced. Players' strategies are computed as random path…

A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…

Imitation is widely observed in populations of decision-making agents. Using our recent convergence results for asynchronous imitation dynamics on networks, we consider how such networks can be efficiently driven to a desired equilibrium…

In games with a large number of players where players may have overlapping objectives, the analysis of stable outcomes typically depends on player types. A special case is when a large part of the player population consists of imitation…

In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…

A financial market model with general semimartingale asset-price processes and where agents can only trade using no-short-sales strategies is considered. We show that wealth processes using continuous trading can be approximated very…

The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…

In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…