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Protocol invariance and the timing of decisions in dynamic games
(Society for Economic Theory, 2019)
Copyright © 2019 The Authors.We characterize a class of dynamic stochastic games that we call separable dynamic games with noisy transitions and establish that these widely used models are protocol invariant provided that ...
Stochastic control and differential games with path-dependent controls
(2017-03-05)
In this paper we consider the functional Itˆo calculus framework to find a path- dependent version of the Hamilton-Jacobi-Bellman equation for stochastic control problems with path-dependence in the controls. We also prove ...
Equilibrium routing under uncertainty
(Springer, 2015)
We provide a brief introduction to the basic models used to describe traffic
on congested networks, both in urban transport and telecommunications. We discuss
traffic equilibrium models, covering atomic and non-atomic ...
Reinforcement learning with restrictions on the action set
(SIAM Publications, 2015)
Consider a two-player normal-form game repeated over time. We introduce an
adaptive learning procedure, where the players only observe their own realized payoff at each stage.
We assume that agents do not know their own ...
Potential dynamic games with timing frictions
(2019-05-16)
Nesse presente trabalho, nós propomos duas alternativas para tornar o modelo do Frankel and Pauzner [2000] analiticamente mais tratável. Primeiro, nós mostramos que é possível resolver recursivamente o modelo ao maximizar ...
A kinetic theory approach to the dynamics of crowd evacuation from bounded domains
(World Scientific, 2015-01)
A mathematical model of the evacuation of a crowd from bounded domains is derived by a hybrid approach with kinetic and macro-features. Interactions at the micro-scale, which modify the velocity direction, are modeled by ...
From the modeling of the inmune hallmarks of cancer to a black swan in biology
(World Scientific, 2013)
Time series analysis for minority game simulations of financial markets
(Elsevier B.V., 2003-04-15)
The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis ...