arXiv research

The paper introduces Robust Correlated Equilibrium for games with time-varying costs and proposes an algorithm to achieve it.

Study insurance pricing under correlation ambiguity without increasing prices or reducing utility.

We introduce CSE for MLSF games and devise online learning algorithms for achieving no-external Stackelberg-regret.

DREAM learns optimal strategies in imperfect games without needing a simulator.

We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity price. Financial investors take positions in these contracts in order to diversify t…

Path-independent equilibrium models improve network performance on harder problems.

This paper improves sample efficiency for learning equilibria in multi-player games.

This paper introduces Schur-constant equilibrium distribution models of dimension n for arithmetic non-negative random variables. Such a model is defined through the (several orders) equilibrium distributions of a univariate survival function. First, the bivariate case is considered and analyzed in depth, stressing the…

We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic aspect is captured through a reduced-form price-impact model for the CO_2 allowance…

Models analyze strategic risk-taking in continuous action games.

Correlations and other collective phenomena in a schematic model of heterogeneous binary agents (individual spin-glass samples) are considered on the complete graph and also on 2d and 3d regular lattices. The system's stochastic dynamics is studied by numerical simulations. The dynamics is so slow that one can meaningf…

Study efficient offline RL in Markov games with general models.

Optimal algorithm for two-player zero-sum games with linear parameterization.

Efficient reinforcement learning for simultaneous-move zero-sum games using optimistic value iteration.

This paper tackles traffic volume estimation challenges with a deep learning method.

V-learning tackles multiagent reinforcement learning by reducing sample complexity.

The paper examines insurance market dynamics and optimal regulation.

The paper solves a portfolio selection problem in incomplete markets by balancing utility and risk.

New methods learn correlated equilibria in large games without structural assumptions.

Modeling price formation in intraday electricity markets with renewable generation.

Study on Kyle's model with stochastic liquidity impacts asset volatility.

This paper studies two important signal processing aspects of equilibrium behavior in non-cooperative games arising in social networks, namely, reinforcement learning and detection of equilibrium play. The first part of the paper presents a reinforcement learning (adaptive filtering) algorithm that facilitates learning…

Algorithm learns robust equilibrium in online Markov games with interactive data.

This paper addresses the problem of multi-agent inverse reinforcement learning (MIRL) in a two-player general-sum stochastic game framework. Five variants of MIRL are considered: uCS-MIRL, advE-MIRL, cooE-MIRL, uCE-MIRL, and uNE-MIRL, each distinguished by its solution concept. Problem uCS-MIRL is a cooperative game in…

A new model for heterogeneous populations optimizes consumption and investment over short horizons.

The paper models insurance market dynamics under uncertainty and financial frictions.

Paper tackles hidden game problem in AI alignment and language games.

The paper explores how mining costs, rewards, and blockchain security are interconnected.

Investor optimizes portfolio under dynamic risk preferences.

Algorithm finds Nash equilibria in complex games with function approximation.

Extends RCNNs to handle hypercomplex-valued data.

New method finds invariant predictors to improve model robustness.

Model calculates optimal trading time for derivatives orders.

On curved spaces, viscous fluids reach equilibrium quickly.

Develops a game-theoretic approach to solve SGEP efficiently.

Paper develops efficient algorithms for learning rationalizable equilibria in multiplayer games.

Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe limitations for approaches in the spirit of standard equilibrium statistical mechanic…

The study uses the Merton model to estimate PD and finds a phase transition affecting convergence speed.

Statistical evaluations of the economic mobility of a society are more difficult than measurements of the income distribution, because they require to follow the evolution of the individuals' income for at least one or two generations. In micro-to-macro theoretical models of economic exchanges based on kinetic equation…

In this study, the fluctuation-dissipation theory is invoked to shed light on input-output interindustrial relations at a macroscopic level by its application to IIP (indices of industrial production) data for Japan. Statistical noise arising from finiteness of the time series data is carefully removed by making use of…

Novel algorithms for multi-agent reinforcement learning reduce sample complexity.

This study quantifies systemic importance in global banks using a continuous framework that amplifies localized shocks.

We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is high but kurtosis is low in panic times, and the opposite in normal times. The co-movement of stock returns also increases in panic times. W…

A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing notions introduced in ArXiv: 1502.03998 and ArXiv: 1709.05181, which in this paper are called \emph{mild equilibrium} and \emph{weak equilibrium…

New research shows no-regret learning is impossible in Markov games under certain assumptions.

We found that factors decay over time, with momentum fitting best.

Two-cycle GEILA equilibria are OLG equilibria and vice versa, with applications to indeterminacy and bubbles.

We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive exogenous, unspanned income and choose between consumption and investing into an annuity.…