Related papers: Mean Field Games and Systemic Risk
In this paper, we develop a mean-field game model for SEIR epidemics on heterogeneous contact networks, where individuals choose state-dependent contact effort to balance infection losses against the social and economic costs of isolation.…
In this paper, we consider discrete-time dynamic games of the mean-field type with a finite number $N$ of agents subject to an infinite-horizon discounted-cost optimality criterion. The state space of each agent is a locally compact Polish…
This paper concerns a Mean Field Game (MFG) system related to a Nash type equilibrium for dynamical games associated to large populations. One shows that the MFG system may be viewed as the Euler-Lagrange system for an optimal control…
Mean field games is a recent area of study introduced by Lions and Lasry in a series of seminal papers in 2006. Mean field games model situations of competition between large number of rational agents that play non-cooperative dynamic games…
A simple model of corruption that takes into account the effect of the interaction of a large number of agents by both rational decision making and myopic behavior is developed. Its stationary version turns out to be a rare example of an…
Recent advances at the intersection of dense large graph limits and mean field games have begun to enable the scalable analysis of a broad class of dynamical sequential games with large numbers of agents. So far, results have been largely…
We study the convergence of Nash equilibria in a game of optimal stopping. If the associated mean field game has a unique equilibrium, any sequence of $n$-player equilibria converges to it as $n\to\infty$. However, both the finite and…
This paper studies the connection between a class of mean-field games and a social welfare optimization problem. We consider a mean-field game in function spaces with a large population of agents, and each agent seeks to minimize an…
Mean-field games (MFG) were introduced to efficiently analyze approximate Nash equilibria in large population settings. In this work, we consider entropy-regularized mean-field games with a finite state-action space in a discrete time…
We propose an approach to modelling large-scale multi-agent dynamical systems allowing interactions among more than just pairs of agents using the theory of mean field games and the notion of hypergraphons, which are obtained as limits of…
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…
In the context of large population symmetric games, approximate Nash equilibria are introduced through equilibrium solutions of the corresponding mean field game in the sense that the individual gain from optimal unilateral deviation under…
We investigate mean-field games (MFG) in which agents can actively control their speed of access to information. Specifically, the agents can dynamically decide to obtain observations with reduced delay by accepting higher observation…
This paper builds on the work of Degond, Herty and Liu by considering N-player stochastic differential games. The control corresponding to a Nash equilibrium of such a game is approximated through model predictive control (MPC) techniques.…
We study mean field portfolio games with random market parameters, where each player is concerned with not only her own wealth but also relative performance to her competitors. We use the martingale optimality principle approach to…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
We investigate the long-run behavior of a stochastic replicator process, which describes game dynamics for a symmetric two-player game under aggregate shocks. We establish an averaging principle that relates time averages of the process and…
A growing body of literature in networked systems research relies on game theory and mechanism design to model and address the potential lack of cooperation between self-interested users. Most game-theoretic models applied to system…
We propose a new approach to mean field games with major and minor players. Our formulation involves a two player game where the optimization of the representative minor player is standard while the major player faces an optimization over…
We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…