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Vadim Platonov

Publications and source records attributed to Vadim Platonov.

5 recordsLinked to original sources
arXiv2025

Many-Server Queueing Systems with Heterogeneous Strategic Servers in Heavy Traffic

In most service systems, the servers are humans who desire to experience a certain level of idleness. In call centers, this manifests itself as the call avoidance behavior, where servers strategically adjust their service rate to strike a balance between the idleness they receive and effort to work harder. Moreover, being humans, each server values this trade-off differently and has different capabilities. Drawing ideas on mean-field games we develop a novel framework relying on measure-valued processes to simultaneously address strategic server behavior and inherent server heterogeneity in service systems. This framework enables us to extend the recent literature on strategic servers in four new directions by: (i) incorporating individual choices of servers, (ii) incorporating individual abilities of servers, (iii) modeling the discomfort experienced by servers due to low levels of idleness, and (iv) considering more general routing policies. Using our framework, we are able to asymptotically characterize asymmetric Nash equilibria for many-server systems with strategic servers. In simpler cases, it has been shown that the purely quality-driven regime is asymptotically optimal. However, we show that if the discomfort increases fast enough as the idleness approaches zero, the quality-and-efficiency-driven regime and other quality driven regimes can be optimal. This is the first time this conclusion appears in the literature.

math.PR↗
arXiv2022

Forward utility and market adjustments in relative investment-consumption games of many players

We study a portfolio management problem featuring many-player and mean field competition, investment and consumption, and relative performance concerns under the forward performance processes (FPP) framework. We focus on agents using power (CRRA) type FPPs for their investment-consumption optimization problem under a common noise Merton market model. We solve both the many-player and mean field game providing closed-form expressions for the solutions where the limit of the former yields the latter. In our case, the FPP framework yields a continuum of solutions for the consumption component as indexed to a market parameter we coin "market-risk relative consumption preference". The parameter permits the agent to set a preference for their consumption going forward in time that, in the competition case, reflects a common market behaviour. We show the FPP framework, under both competition and no-competition, allows the agent to disentangle her risk-tolerance and elasticity of intertemporal substitution (EIS) just like Epstein-Zin preferences under recursive utility framework and unlike the classical utility theory one. This, in turn, allows a finer analysis on the agent's consumption "income" and "substitution" regimes, and, of independent interest, motivates a new strand of economics research on EIS under the FPP framework. We find that competition rescales the agent's perception of consumption in a non-trivial manner. We provide numerical illustrations of our results.

econ.GN↗
arXiv2021

On the relation between Stratonovich and Ito integrals with functional integrands of conditional measure flows

In this small note we explicit the relation between Ito and Stratonovich integrals when conditional measure flow components are present in the integrands. The `correction' term involves Lions-type measure derivatives and clarifies which cross-correlations need to be taken into account. We cast the framework in relation to SDEs of mean-field type depending on conditional flows of measure. The result being trivial under full flows of measure.

math.PR↗
arXiv2020

Forward utilities and Mean-field games under relative performance concerns

We introduce the concept of mean field games for agents using Forward utilities of CARA type to study a family of portfolio management problems under relative performance concerns. Under asset specialization of the fund managers, we solve the forward-utility finite player game and the forward-utility mean-field game. We study best response and equilibrium strategies in the single common stock asset and the asset specialization with common noise. As an application, we draw on the core features of the forward utility paradigm and discuss a problem of time-consistent mean-field dynamic model selection in sequential time-horizons.

q-fin.PM↗