Related papers: Discrete-time Risk-sensitive Mean-field Games

This thesis develops equilibrium asset pricing models in incomplete markets with a large number of heterogeneous agents using mean field game theory. The market equilibrium is characterized by a novel form of mean field backward stochastic…

We investigate a stochastic differential game in which a major player has a private information (the knowledge of a random variable), which she discloses through her control to a population of small players playing in a Nash Mean Field Game…

We investigate a time-inconsistent, non-Markovian finite-player game in continuous time, where each player's objective functional depends non-linearly on the expected value of the state process. As a result, the classical Bellman optimality…

We introduce a simple class of mean field games with absorbing boundary over a finite time horizon. In the corresponding $N$-player games, the evolution of players' states is described by a system of weakly interacting It\^o equations with…

We consider network aggregative games to model and study multi-agent populations in which each rational agent is influenced by the aggregate behavior of its neighbors, as specified by an underlying network. Specifically, we examine systems…

We explore a mechanism of decision-making in Mean Field Games with myopic players. At each instant, agents set a strategy which optimizes their expected future cost by assuming their environment as immutable. As the system evolves, the…

We study a portfolio optimization problem for competitive agents with CRRA utilities and a common finite time horizon. The utility of an agent depends not only on her absolute wealth and consumption but also on her relative wealth and…

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…

We investigate the convergence of symmetric stochastic differential games with interactions via control, where the volatility terms of both idiosyncratic and common noises are controlled. We apply the stochastic maximum principle, following…

We investigate mean-field games from the point of view of a large number of indistinguishable players which eventually converges to infinity. The players are weakly coupled via their empirical measure. The dynamics of the states of the…

We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal and a private signal. The broker, on the other hand,…

In this paper, we use mean field games (MFGs) to investigate approximations of $N$-player games with uniformly symmetrically continuous heterogeneous closed-loop actions. To incorporate agents' risk aversion (beyond the classical expected…

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…

Mean-field games with absorption is a class of games, that have been introduced in Campi and Fischer (2018) and that can be viewed as natural limits of symmetric stochastic differential games with a large number of players who, interacting…

This work studies the behaviors of two large-population teams competing in a discrete environment. The team-level interactions are modeled as a zero-sum game while the agent dynamics within each team is formulated as a collaborative…

We investigate mean field games for players, who are weakly coupled via their empirical measure. To this end we investigate time-dependent pure jump type propagators over a finite space in the framework of non-linear Markov processes. We…

The existence of a phase transition with diverging susceptibility in batch Minority Games (MGs) is the mark of informationally efficient regimes and is linked to the specifics of the agents' learning rules. Here we study how the standard…

This paper is devoted to the study of the long time behavior of Nash equilibria in Mean Field Games within the framework of displacement monotonicity. We first show that any two equilibria defined on the time horizon $[0,T]$ must be close…

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.…

This paper proposes a new mathematical paradigm to analyze discrete-time mean-field games. It is shown that finding Nash equilibrium solutions for a general class of discrete-time mean-field games is equivalent to solving an optimization…