相关论文: Approximating Nash Equilibrium for Production Cont…
This paper studies an optimal investment-consumption problem for competitive agents with exponential or power utilities and a common finite time horizon. Each agent regards the average of habit formation and wealth from all peers as…
We study the pay-as-bid auction game, a supply function model with discriminatory pricing and asymmetric firms. In this game, strategies are non-decreasing supply functions relating pric to quantity and the exact choice of the strategy…
In a many-to-one matching market, we analyze the matching game induced by a stable rule when firms' choice function satisfy substitutability. We show that any stable rule implements the individually rational correspondence in Nash…
In this paper, we consider discrete-time dynamic games of the mean-field type with a finite number $N$ of agents subject to an infinite-horizon discounted-cost optimality criterion. The state space of each agent is a locally compact Polish…
This paper is concerned with an indefinite linear-quadratic mean field games of stochastic large-population system, where the individual diffusion coefficients can depend on both the state and the control of the agents. Moreover, the…
We examine how monetary shocks spread throughout an economic model characterized by sticky prices and general equilibrium, where the pricing strategies of firms are interlinked, fostering a mutually beneficial relationship. In this dynamic…
We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…
In this study, we present models where participants strategically select their risk levels and earn corresponding rewards, mirroring real-world competition across various sectors. Our analysis starts with a normal form game involving two…
We consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study, with analytical and numerical methods, the resulting Nash…
We introduce a new mean-field game framework to analyze the impact of carbon pricing in a multi-sector economy with defaultable firms. Each sector produces a homogeneous good, with its price endogenously determined through market clearing.…
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…
We study the high-frequency limits of strategies and costs in a Nash equilibrium for two agents that are competing to minimize liquidation costs in a discrete-time market impact model with exponentially decaying price impact and quadratic…
Pressure on ancillary reserves, i.e.frequency preserving, in power systems has significantly mounted due to the recent generalized increase of the fraction of (highly fluctuating) wind and solar energy sources in grid generation mixes. The…
We introduce the problem of groundwater trading, capturing the emergent groundwater market setups among stakeholders in a given groundwater basin. The agents optimize their production, taking into account their available water rights, the…
In this paper, the problem of finding a Nash equilibrium of a multi-player game is considered. The players are only aware of their own cost functions as well as the action space of all players. We develop a relatively fast algorithm within…
In finite games mixed Nash equilibria always exist, but pure equilibria may fail to exist. To assess the relevance of this nonexistence, we consider games where the payoffs are drawn at random. In particular, we focus on games where a large…
We consider a continuum of carbon-emitting firms who seek to maximise their stock price, and a regulator (e.g., Government) who wishes for the economy to flourish, whilst simultaneously punishing firms who behave non-green. Interpreting the…
We study interactions with uncertainty about demand sensitivity. In our solution concept (1) firms choose seemingly-optimal strategies given the level of sophistication of their data analytics, and (2) the levels of sophistication form best…
Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…
We introduce a novel class of Nash equilibrium seeking dynamics for non-cooperative games with a finite number of players, where the convergence to the Nash equilibrium is bounded by a KL function with a settling time that can be upper…