Related papers: Bellman systems with mean field dependent dynamics
We consider non-standard Markov Decision Processes (MDPs) where the target function is not only a simple expectation of the accumulated reward. Instead, we consider rather general functionals of the joint distribution of terminal state and…
We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-dependent intensity function. All coefficients, i.e. drift,…
In this paper we analyze a Boltzmann type mean field game model for knowledge growth, which was proposed by Lucas and Moll. We discuss the underlying mathematical model, which consists of a coupled system of a Boltzmann type equation for…
We consider a system of mean field games with local coupling in the deterministic limit. Under general structure conditions on the Hamiltonian and coupling, we prove existence and uniqueness of the weak solution, characterizing this…
The well-posedness of a multi-population dynamical system with an entropy regularization and its convergence to a suitable mean-field approximation are proved, under a general set of assumptions. Under further assumptions on the evolution…
In this paper we model the role of a government of a large population as a mean field optimal control problem. Such control problems are constrainted by a PDE of continuity-type, governing the dynamics of the probability distribution of the…
We investigate the existence of solutions to viscous ergodic Mean Field Games systems in bounded domains with Neumann boundary conditions and local, possibly aggregative couplings. In particular we exploit the associated variational…
We investigate an $N$-particle Bose-Hubbard dimer with an additional effective decay term in one of the sites. A mean-field approximation for this non-Hermitian many-particle system is derived, based on a coherent state approximation. The…
This paper considers a class of reinforcement-learning that belongs to the family of Learning Automata and provides a stochastic-stability analysis in strategic-form games. For this class of dynamics, convergence to pure Nash equilibria has…
In this paper, we consider a class of mean field games in which the optimal strategy of a representative agent depends on the statistical distribution of the states and controls. We prove some existence results for the forward-backward…
Are spinodal instabilities the leading mechanism in the fragmentation of a fermionic system? Numerous experimental indications suggest such a scenario and stimulated much effort in giving a suitable description, without being finalised in a…
This paper studies stochastic optimization problems and associated Bellman equations in formats that allow for reduced dimensionality of the cost-to-go functions. In particular, we study stochastic control problems in the…
This paper is devoted to path-dependent kinetics equations arising, in particular, from the analysis of the coupled backward - forward systems of equations of mean field games. We present local well-posedness, global existence and some…
Motivated by recent interest in graphon mean field games and their applications, this paper provides a comprehensive probabilistic analysis of graphon mean field control (GMFC) problems, where the controlled dynamics are governed by a…
This work considers stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. We develop a new framework to prove convergence…
This study addresses primal-dual dynamics for a stochastic programming problem for capacity network design. It is proven that consensus can be achieved on the \textit{here and now} variables which represent the capacity of the network. The…
We study the mean field games equations, consisting of the coupled Kolmogorov-Fokker-Planck and Hamilton-Jacobi-Bellman equations. The equations are complemented by initial and terminal conditions. It is shown that with some specific choice…
This article introduces a novel mean-field game model for multi-sector economic growth in which a dynamically evolving externality, influenced by the collective actions of agents, plays a central role. Building on classical growth theories…
In this paper, we attempt to introduce the Bellman principle for a discrete time multi-period mean-variance model. Based on this new take on the Bellman principle, we obtain a dynamic time-consistent optimal strategy and related efficient…
We consider deterministic mean field games in which the agents control their acceleration and are constrained to remain in a domain of R n. We study relaxed equilibria in the Lagrangian setting; they are described by a probability measure…