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作者：Zhang, Brian Hu; Farina, Gabriele; Celli, Andrea; Sandholm, Tuomas
作者单位：Carnegie Mellon University; Massachusetts Institute of Technology (MIT); Bocconi University
摘要：We study the problem of finding optimal correlated equilibria of various sorts in extensive-form games: normal-form coarse correlated equilibrium (NFCCE), extensive-form coarse correlated equilibrium (EFCCE), and extensive-form correlated equilibrium (EFCE). We make two primary contributions. First, we introduce a new algorithm for computing optimal equilibria in all three notions. Its runtime depends exponentially only on a parameter related to the information structure of the game. We also p...
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作者：Fu, Guanxing; Hager, Paul P.; Horst, Ulrich
作者单位：Hong Kong Polytechnic University; Hong Kong Polytechnic University; University of Vienna; Humboldt University of Berlin; Humboldt University of Berlin
摘要：We consider both N-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initial short position of stocks are only allowed to buy, while players with an initial long position are only allowed to sell the stock. Under suitable conditions on the model parameters, we show that the games are equivalent to games of timing where the players need to determine the optimal times of market entry and exit. We ...
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作者：Djete, Mao Fabrice
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; ENSTA Paris
摘要：In order to deal with the question of the existence of a calibrated local stochastic volatility model in finance, we investigate a class of McKean-Vlasov equations where minimal continuity assumption is imposed on the coefficients. Namely, the drift coefficient and, in particular, the volatility coefficient are not necessarily continuous in the measure variable for the Wasserstein topology. In this paper, we provide an existence result and show an approximation by N-particle system or propagat...
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作者：Callegaro, Giorgia; Di Tella, Paolo; Ongarato, Beatrice; Sgarra, Carlo
作者单位：University of Padua; Technische Universitat Dresden; Universita degli Studi di Bari Aldo Moro
摘要：The aim of this paper is to investigate a quadratic, that is, variance-optimal, semistatic hedging problem in an incomplete market model where the underlying log-asset price is driven by a diffusion process with stochastic volatility and a self-exciting jump process of the Hawkes type. More precisely, we aim at hedging a claim at time T > 0 by using a portfolio of available contingent claims so as to minimize the variance of the residual hedging error at time T. In order to improve the replica...
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作者：Aspect, Leopold; Ewerhart, Christian
作者单位：University of Zurich
摘要：Sion and Wolfe [Sion M, Wolfe P (1957) On a game without a value. Contributions to the Theory of Games III, Annals of Mathematics Studies (Princeton University Press, Princeton, NJ), 299-306.] presented a two-person zero-sum game on the unit square without a value. In the present paper, we analyze finite-grid approximations of the Sion-Wolfe game. We find that, as the number of grid points tends to infinity and the payoff function approaches that of the infinite game, the limiting value of fin...
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作者：Alidou, Abdou Majeed; Hazla, Jan; Baligacs, Julia; Hahn-Klimroth, Max; Hintze, Lukas; Scheftelowitsch, Olga
作者单位：University of Oxford; Goethe University Frankfurt; University of Hamburg; Dortmund University of Technology
摘要：Polarization and unexpected correlations between opinions on diverse topics are an object of sustained attention. However, numerous theoretical models do not seem to convincingly explain these phenomena. This paper is motivated by a recent line of work, studying models where polarization can be explained in terms of biased assimilation and geometric interplay between opinions on various topics. The agent opinions are represented as unit vectors on a multidimensional sphere and updated accordin...
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作者：Huo, Dongyan (Lucy); Chen, Yudong; Xie, Qiaomin
作者单位：Hong Kong University of Science & Technology; University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison
摘要：We consider linear stochastic approximation (LSA) with constant step size and Markovian data. Viewing the joint process of the data and LSA iterate as a time-homogeneous Markov chain, we prove its convergence to a unique limiting and stationary distribution and establish nonasymptotic, geometric convergence rates. Furthermore, we show that the bias vector of this limit admits an infinite series expansion with respect to the step size. Consequently, the bias is proportional to the step size up ...
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作者：Wang, Yike; Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen
作者单位：Chongqing Technology & Business University; Central University of Finance & Economics; Hong Kong Polytechnic University; Macquarie University
摘要：This paper studies consumption-portfolio optimization problems with habit formation in a regime-switching market. The habit level, which reflects the endogenous impact of past consumption, also involves regime switching and jump diffusion. Because of the presence of general utility functions and path-dependent random parameters, we use the market completion method and introduce some additional jump assets to address the problems. After reducing the problems to solving a stochastic Hamilton-Jac...
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作者：Chorobura, Flavia; Necoara, Ion; Pesquet, lean-Christophe
作者单位：National University of Science & Technology POLITEHNICA Bucharest; Romanian Academy; Universite Paris Saclay; Inria
摘要：In this paper, we propose an adaptive forward-backward-forward splitting algorithm for finding a zero of a pseudo-monotone operator that is split as a sum of three operators: the first is continuous single-valued, the second is Lipschitzian, and the third is maximally monotone. This setting covers, in particular, constrained minimization scenarios, such as problems having smooth and convex functional constraints (e.g., quadratically constrained quadratic programs) or problems with a pseudo-con...
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作者：Chen, Lin; Tao, Liangde; Verschae, Jose
作者单位：Zhejiang University; Pontificia Universidad Catolica de Chile; Pontificia Universidad Catolica de Chile
摘要：We consider a classical scheduling problem on m identical machines. For an arbitrary constant q > 1, the aim is to assign jobs to machines such that Sigma(m)(i=1) C-i(q) is minimized, where C-i is the total processing time of jobs assigned to machine i. It is well known that this problem is strongly NP-hard. Under mild assumptions, the running time of a (1 + epsilon)-approximation algorithm for a strongly NP-hard problem cannot be polynomial on 1/epsilon, unless P=NP. For most problems in the ...
