Related papers: Quantile-based Mean-Field Games with Common Noise
The theory of Mean-Field Games is interested in the behaviour of interacting particle systems in which the individual interaction between particles (players) decreases as the size of the population increases. In recent years, it was…
We here address the question of restoration of uniqueness in mean-field games deriving from deterministic differential games with a large number of players. The general strategy for restoring uniqueness is inspired from earlier similar…
In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…
We present a simpler proof of the existence of equilibria for a class of mean field games with common noise, where players interact through the conditional law given the current value of the common noise rather than its entire path. By…
In this paper, we study a class of linear-quadratic (LQ) mean field games of controls with common noises and their corresponding $N$-player games. The theory of mean field game of controls considers a class of mean field games where the…
We consider Mean Field Games without idiosyncratic but with Brownian type common noise. We introduce a notion of solutions of the associated backward-forward system of stochastic partial differential equations. We show that the solution…
We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become…
We present a novel framework for mean field games with finite state space and common noise, where the common noise is given through shocks that occur at random times. We first analyze the game for up to $n$ shocks, in which case we are able…
This paper provides a mathematical study of the well-posedness of master equation on finite state space involving terms modelling common noise. In this setting, the solution of the master equation depends on an additional variable modelling…
In this paper we study a class of matrix-valued linear-quadratic mean-field-type games for both the risk-neutral, risk-sensitive and robust cases. Non-cooperation, full cooperation and adversarial between teams are treated. We provide a…
This paper is concerned with the study of mean field games master equations involving an additional variable modelling common noise. We address cases in which the dynamics of this variable can depend on the state of the game, which requires…
We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…
This paper investigates an indefinite linear-quadratic partially observed mean-field game with common noise, incorporating both state-average and control-average effects. In our model, each agent's state is observed through both individual…
We study a mean-field game of optimal stopping and investigate the existence of strong solutions via a connection with the Bank-El Karoui's representation problem. Under certain continuity assumptions, where the common noise is generated by…
Forcing finite state mean field games by a relevant form of common noise is a subtle issue, which has been addressed only recently. Among others, one possible way is to subject the simplex valued dynamics of an equilibrium by a so-called…
We present the notion of monotone solution of mean field games master equations in the case of a continuous state space. We establish the existence, uniqueness and stability of such solutions under standard assumptions. This notion allows…
The large-population system consists of considerable small agents whose individual behavior and mass effect are interrelated via their state-average. The mean-field game provides an efficient way to get the decentralized strategies of…
We study mean field games and corresponding $N$-player games in continuous time over a finite time horizon where the position of each agent belongs to a finite state space. As opposed to previous works on finite state mean field games, we…
In this paper, we address an instance of uniquely solvable mean-field game with a common noise whose corresponding counterpart without common noise has several equilibria. We study the selection problem for this mean-field game without…
We consider the mean field game of cross--holding introduced in \citeauthor*{DjeteTouzi} \cite{DjeteTouzi} in the context where the equity value dynamics are affected by a common noise. In contrast with \cite{DjeteTouzi}, the problem…