Related papers: Nonzero-sum stochastic games and mean-field games …
Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has…
In many multi-player interactions, players incur strictly positive costs each time they execute actions e.g. 'menu costs' or transaction costs in financial systems. Since acting at each available opportunity would accumulate prohibitively…
Mean field games are studied by means of the weak formulation of stochastic optimal control. This approach allows the mean field interactions to enter through both state and control processes and take a form which is general enough to…
This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving such problems, there are no suitable numerical methods…
We consider deterministic mean field games where the dynamics of a typical agent is non-linear with respect to the state variable and affine with respect to the control variable. Particular instances of the problem considered here are mean…
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…
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…
In this paper, we consider a mean field game (MFG) with a major and $N$ minor agents. We first consider the limiting problem and allow the coefficients to vary with the conditional distribution in a nonlinear way. We use the stochastic…
We study nonzero-sum stochastic switching games. Two players compete for market dominance through controlling (via timing options) the discrete-state market regime $M$. Switching decisions are driven by a continuous stochastic factor $X$…
We consider a class of $N$-player games and mean-field games of singular controls with ergodic performance criterion, providing a benchmark case for irreversible investment games featuring mean-field interaction and strategic…
We consider a general class of finite-player stochastic games with mean-field interaction, in which the linear-quadratic cost functional includes linear operators acting on controls in $L^2$. We propose a novel approach for deriving the…
We study a zero-sum stochastic differential game (SDG) in which one controller plays an impulse control while their opponent plays a stochastic control. We consider an asymmetric setting in which the impulse player commits to, at the start…
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…
We are interested in the study of stochastic games for which each player faces an optimal stopping problem. In our setting, the players may interact through the criterion to optimise as well as through their dynamics. After briefly…
We analyze a system of partial differential equations that model a potential mean field game of controls, briefly MFGC. Such a game describes the interaction of infinitely many negligible players competing to optimize a personal value…
This paper studies a large population dynamic game involving nonlinear stochastic dynamical systems with agents of the following mixed types: (i) a major agent, and (ii) a population of $N$ minor agents where $N$ is very large. The major…
This paper deals with N-person nonzero-sum discrete-time Markov games under a probability criterion, in which the transition probabilities and reward functions are allowed to vary with time. Differing from the existing works on the expected…
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 consider a finite-horizon, zero-sum game in which both players control a stochastic differential equation by invoking impulses. We derive a control randomization formulation of the game and use the existence of a value for the randomized…
A general class of mean field games are considered where the governing dynamics are controlled diffusions in $\mathbb{R}^d$. The optimization criterion is the long time average of a running cost function. Under various sets of hypotheses,…