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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…
We analyze the behavior of a large number of strategic drivers traveling over an urban traffic network using the mean-field game framework. We assume an incentive mechanism for congestion mitigation under which each driver selecting a…
We develop a probabilistic framework to approximate Nash equilibria in symmetric $N$-player games in the large population regime, via the analysis of associated mean field games (MFGs). The approximation is achieved through the analysis of…
Network congestion games are a convenient model for reasoning about routing problems in a network: agents have to move from a source to a target vertex while avoiding congestion, measured as a cost depending on the number of players using…
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…
A game-theoretic model is proposed to study the cross-layer problem of joint power and rate control with quality of service (QoS) constraints in multiple-access networks. In the proposed game, each user seeks to choose its transmit power…
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…
This paper investigates a partially observable queueing system with $N$ nodes in which each node has a dedicated arrival stream. There is an extra arrival stream to balance the load of the system by routing its customers to the shortest…
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with…
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of $N$ banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the…
We consider a discrete population of users with homogeneous service demand who need to decide when to arrive to a system in which the service rate deteriorates linearly with the number of users in the system. The users have heterogeneous…
We investigate the behavior of equilibria in an $M/M/1$ feedback queue where price and time sensitive customers are homogeneous with respect to service valuation and cost per unit time of waiting. Upon arrival, customers can observe the…
Subject to reasonable conditions, in large population stochastic dynamics games, where the agents are coupled by the system's mean field (i.e. the state distribution of the generic agent) through their nonlinear dynamics and their nonlinear…
We consider a stochastic tournament game in which each player is rewarded based on her rank in terms of the completion time of her own task and is subject to cost of effort. When players are homogeneous and the rewards are purely rank…
Today's queueing network systems are more rapidly evolving and more complex than those of even a few years ago. The goal of this paper is to study customers' behavior in an unobservable Markovian M/M/1 queue where consumers have to choose…
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…
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…
Consider a population of customers each of which needs to decide independently when to arrive to a facility that provides a service during a fixed period of time, say a day. This is a common scenario in many service systems such as a bank,…
In this paper, we introduce malicious Bayesian congestion games as an extension to congestion games where players might act in a malicious way. In such a game each player has two types. Either the player is a rational player seeking to…
The mean field limit of large-population symmetric stochastic differential games is derived in a general setting, with and without common noise, on a finite time horizon. Minimal assumptions are imposed on equilibrium strategies, which may…