相关论文: Fisher Meets Lindahl: A Unified Duality Framework …

Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…

This paper introduces a dual problem to study a continuous-time consumption and investment problem with incomplete markets and stochastic differential utility. For Epstein-Zin utility, duality between the primal and dual problems is…

Public goods games study the incentives of individuals to contribute to a public good and their behaviors in equilibria. In this paper, we examine a specific type of public goods game where players are networked and each has binary actions,…

We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…

We consider the problem of large-scale Fisher market equilibrium computation through scalable first-order optimization methods. It is well-known that market equilibria can be captured using structured convex programs such as the…

Electricity markets differ in their ability to meet power imbalances in short notice in a controlled fashion. Relatively flexible markets have the ability to ramp up (or down) power flows across interties without compromising their ability…

This paper develops a theory of competitive equilibrium with indivisible goods based entirely on economic conditions on demand. The key idea is to analyze complementarity and substitutability between bundles of goods, rather than merely…

In this paper we report further progress towards a complete theory of state-independent expected utility maximization with semimartingale price processes for arbitrary utility function. Without any technical assumptions we establish a…

Digital marketplaces processing billions of dollars annually represent critical infrastructure in sociotechnical ecosystems, yet their performance optimization lacks principled measurement frameworks that can inform algorithmic governance…

There are several aspects of data markets that distinguish them from a typical commodity market: asymmetric information, the non-rivalrous nature of data, and informational externalities. Formally, this gives rise to a new class of games…

Global decarbonisation targets and tightening market pressures demand maritime logistics solutions that are simultaneously efficient, sustainable, and equitable. We introduce EcoFair-CH-MARL, a constrained hierarchical multi-agent…

Demand response (DR) programs play a crucial role in improving system reliability and mitigating price volatility by altering the core profile of electricity consumption. This paper proposes a game-theoretical model that captures the…

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…

Fairness is a central pillar of trustworthy machine learning, especially in domains where accuracy- or profit-driven optimization is insufficient. While most fairness research focuses on supervised learning, fairness in policy learning…

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…

Recent results, establishing evidence of intractability for such restrictive utility functions as additively separable, piecewise-linear and concave, under both Fisher and Arrow-Debreu market models, have prompted the question of whether we…

We model real-world data markets, where sellers post fixed prices and buyers are free to purchase from any set of sellers, as a simultaneous game. A key component here is the negative externality buyers induce on one another due to data…

We study optimal monopoly pricing over consumer networks governed by general nonlinear utilities. In our framework, a consumer's utility is jointly determined by an individualized price and the consumption choices of their peers, propagated…

This work addresses learning online fair division under uncertainty, where a central planner sequentially allocates items without precise knowledge of agents' values or utilities. Departing from conventional online algorithm, the planner…

In this paper we deal with linear production situations in which there is a limited common-pool resource, managed by an external agent. The profit that a producer, or a group of producers, can attain depends on the amount of common-pool…