相关论文: Capital Requirement for Achieving Acceptability

We present a necessary and sufficient condition for the reachable set, i.e., the set of states reachable from a ball of initial states at some time, of an ordinary differential equation to be convex. In particular, convexity is guaranteed…

We study a setting in which two players play a (possibly approximate) Nash equilibrium of a bimatrix game, while a learner observes only their actions and has no knowledge of the equilibrium or the underlying game. A natural question is…

We consider a general class of diffusion-based models and show that, even in the absence of an Equivalent Local Martingale Measure, the financial market may still be viable, in the sense that strong forms of arbitrage are excluded and…

The notion of approachability was introduced by Blackwell [1] in the context of vector-valued repeated games. The famous Blackwell's approachability theorem prescribes a strategy for approachability, i.e., for `steering' the average cost of…

We have shown, in a series of articles, that a classical description of a large number of economic agents can be replaced by a statistical fields formalism. To better understand the accumulation and allocation of capital among different…

We investigate the possibility of an incentive-compatible (IC, a.k.a. strategy-proof) mechanism for the classification of agents in a network according to their reviews of each other. In the $ \alpha $-classification problem we are…

In a dynamic matching market, such as a marriage or job market, how should agents balance accepting a proposed match with the cost of continuing their search? We consider this problem in a discrete setting, in which agents have cardinal…

We introduce a $\phi^{4}$ lattice field theory with frustrated dynamics as a multi-agent system to reproduce stylized facts of financial markets such as fat-tailed distributions of returns and clustered volatility. Each lattice site,…

The main purpose of this paper is to formalize the modelling process, analysis and mathematical definition of corruption when entering into a contract between principal agent and producers. The formulation of the problem and the definition…

We study social behaviour of agents on capital markets when these are perturbed by small perturbations. We use the mean field method. Social behaviour of agents on capital markets is described: volatility of the market, aversion constant…

We consider how an agent should update her uncertainty when it is represented by a set P of probability distributions and the agent observes that a random variable X takes on value x, given that the agent makes decisions using the minimax…

One of the crucial problems in mathematical finance is to mitigate the risk of a financial position by setting up hedging positions of eligible financial securities. This leads to focusing on set-valued maps associating to any financial…

In this paper, we consider one aspect of the problem of applying decision theory to the design of agents that learn how to make decisions under uncertainty. This aspect concerns how an agent can estimate probabilities for the possible…

Our goal is to resolve a problem proposed by Fernholz and Karatzas [On optimal arbitrage (2008) Columbia Univ.]: to characterize the minimum amount of initial capital with which an investor can beat the market portfolio with a certain…

We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…

This work suggests modifications to a previously introduced class of heterogeneous agent models that allow for the inclusion of different types of agent motivations and behaviours in a unified way. The agents operate within a highly…

We consider the problem of fair allocation of indivisible items to agents that have arbitrary entitlements to the items. Every agent $i$ has a valuation function $v_i$ and an entitlement $b_i$, where entitlements sum up to~1. Which…

When allocating indivisible items, there are various ways to use monetary transfers for eliminating envy. Particularly, one can apply a balanced vector of transfer payments, or charge each agent a positive amount, or -- contrarily -- give…

In this work we are concerned with the design of efficient mechanisms while eliciting limited information from the agents. First, we study the performance of sampling approximations in facility location games. Our key result is to show that…

Wealth inequality is an important matter for economic theory and policy. Ongoing debates have been discussing recent rise in wealth inequality in connection with recent development of active financial markets around the world. Existing…