Related papers: Mean Field Games and Nonlinear Markov Processes

Traditional solvable game theory and mean-field-type game theory (risk-aware games) predominantly focus on quadratic costs due to their analytical tractability. Nevertheless, they often fail to capture critical non-linearities inherent in…

We provide an abstract framework for submodular mean field games and identify verifiable sufficient conditions that allow to prove existence and approximation of strong mean field equilibria in models where data may not be continuous with…

In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive discounted-cost optimality criterion. Risk-sensitivity is introduced for each agent (player) via an exponential utility function. In…

In this paper, we consider a first-order deterministic mean field game model inspired by crowd motion in which agents moving in a given domain aim to reach a given target set in minimal time. To model interaction between agents, we assume…

We consider time-continuous Markovian discrete-state dynamics on random networks of interacting agents and study the large population limit. The dynamics are projected onto low-dimensional collective variables given by the shares of each…

This paper studies an optimal investment-consumption problem for competitive agents with exponential or power utilities and a common finite time horizon. Each agent regards the average of habit formation and wealth from all peers as…

We investigate a mean field game model for the production of exhaustible resources. In this model, firms produce comparable goods, strategically set their production rate in order to maximise profit, and leave the market as soon as they…

Empirically derived continuum models of collective behavior among large populations of dynamic agents are a subject of intense study in several fields, including biology, engineering and finance. We formulate and study a mean-field game…

Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…

Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…

Establishing the existence of exact or near Markov or stationary perfect Nash equilibria in nonzero-sum Markov games over Borel spaces is a challenging problem with limited positive results. Motivated by problems in multi-agent and Bayesian…

We consider stochastic differential games with $N$ players, linear-Gaussian dynamics in arbitrary state-space dimension, and long-time-average cost with quadratic running cost. Admissible controls are feedbacks for which the system is…

We study a static game played by a finite number of agents, in which agents are assigned independent and identically distributed random types and each agent minimizes its objective function by choosing from a set of admissible actions that…

In this paper we study a mean-field games system with Dirichlet boundary conditions in a closed domain and in a mean-field of control setting, that is in which the dynamics of each agent is affected not only by the average position of the…

We consider the basic problem of approximating Nash equilibria in noncooperative games. For monotone games, we design continuous time flows which converge in an averaged sense to Nash equilibria. We also study mean field equilibria, which…

We establish an existence of equilibrium result for a class of non-Markovian mean-field games with unbounded control space in weak formulation. Our result is based on new existence and stability results for quadratic-growth generalized…

Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…

We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical…

This paper deals with the derivation of the mean-field limit for multi-agent systems on a large class of sparse graphs. More specifically, the case of non-exchangeable multi-agent systems consisting of non-identical agents is addressed. The…

We consider a general class of nonzero-sum $N$-player stochastic games with impulse controls, where players control the underlying dynamics with discrete interventions. We adopt a verification approach and provide sufficient conditions for…