相关论文: Approximating Nash Equilibrium for Production Cont…

A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense…

This paper studies a spatial competition game between two firms that sell a homogeneous good at some pre-determined fixed price. A population of consumers is spread out over the real line, and the two firms simultaneously choose location in…

This paper studies the limits of empirical means of open-loop Nash equilibria of linear-quadratic stochastic differential games as the number of players goes to infinity, when the corresponding mean field game is of potential type and may…

This paper uses Nash equilibrium reversion as an optimal tool for clearing dynamic prices and wages. Various exogenous competitive rigidities determine the balanced growth path of the efficiency wage and the outcome of repeated…

This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…

This paper proposes a novel approach for locally stable convergence to Nash equilibrium in duopoly noncooperative games based on a distributed event-triggered control scheme. The proposed approach employs extremum seeking, with sinusoidal…

This paper builds on the work of Degond, Herty and Liu by considering N-player stochastic differential games. The control corresponding to a Nash equilibrium of such a game is approximated through model predictive control (MPC) techniques.…

We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies…

We investigate the effects of competition in a problem of resource extraction from a common source with diffusive dynamics. In the symmetric version with identical extraction rates we prove the existence of a Nash equilibrium where the…

We investigate mean-field games (MFG) in which agents can actively control their speed of access to information. Specifically, the agents can dynamically decide to obtain observations with reduced delay by accepting higher observation…

The presence of uncertainties in the ride-hailing market complicates the pricing strategies of on-demand platforms that compete each other to offer a mobility service while striving to maximize their profit. Looking at this problem as a…

We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-dependent intensity function. All coefficients, i.e. drift,…

We consider the basic problem of approximating Nash equilibria in noncooperative games. For monotone games, we design continuous time flows which converge in an averaged sense to Nash equilibria. We also study mean field equilibria, which…

We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game.…

This paper focuses on multi-agent stochastic differential games for jump-diffusion systems. On one hand, we study the multi-agent game for optimal investment in a jump-diffusion market. We derive constant Nash equilibria and provide…

We study discrete-time mean-field Markov games with infinite numbers of agents where each agent aims to minimize its ergodic cost. We consider the setting where the agents have identical linear state transitions and quadratic cost…

We study a Stackelberg strategy subject to the evolutionary linearized micropolar fluids equations in domains with moving boundaries, considering a Nash multi-objective equilibrium (non necessarily cooperative) for the "follower players"…

Traders constantly consider the price impact associated with changing their positions. This paper seeks to understand how price impact emerges from the quoting strategies of market makers. To this end, market making is modeled as a dynamic…

Many economic transactions, including those of online markets, have a time lag between the start and end times of transactions. Customers need to wait for completion of their transaction (order fulfillment) and hence are also interested in…

We discuss a class of explicitly solvable mean field type control problems/mean field games with a clear economic interpretation. More precisely, we consider long term average impulse control problems with underlying general one-dimensional…