When cooperation is beneficial to all agents

2026-04-03

AI Summary

This study investigates the relationship between collective efficiency and individual rationality in general semimartingale markets, aiming to characterize the necessary and sufficient conditions under which cooperation strictly enhances the indirect utility of all agents. By integrating semimartingale theory, utility theory, and measure compatibility analysis from asset pricing, the paper establishes—within a unified framework encompassing both continuous and discrete time—that cooperation yields a Pareto improvement if and only if agents’ preferences satisfy a specific compatibility condition with the collective pricing measure. This result provides a rigorous mathematical foundation for the design of cooperative mechanisms in multi-agent economic systems.

Technology Category

Game Theory and Economic Paradigms: Cooperative Game TheoryMultiagent Systems: Mechanism DesignReasoning under Uncertainty: Decision/Utility Theory

Application Category

Economics, Online Markets and Human Computation: Fairness, privacy, and diversity in economic environmentsSecurity and Privacy: Large-scale security measurementsSemantics and Knowledge: Methods to enhance, augment, integrate or synergize semantic models such as knowledge graphs and LLMs

Abstract

Within a general semimartingale framework, we study the relationship between collective market efficiency and individual rationality. We derive a necessary and sufficient condition for the existence of (possibly zero-sum) exchanges among agents that strictly increase their indirect utilities and characterize this condition in terms of the compatibility between agents' preferences and collective pricing measures. The framework applies to both continuous- and discrete-time models and clarifies when cooperation leads to a strict improvement in each participating agent's indirect utility.

Problem

• collective market efficiency
• individual rationality
• indirect utility
• cooperation
• semimartingale framework

Innovation

• semimartingale framework
• collective market efficiency
• individual rationality
• indirect utility
• preference-compatibility