Related papers: Systemic Risk and Heterogeneous Mean Field Type In…
We consider a class of linear-quadratic-Gaussian mean-field games with a major agent and considerable heterogeneous minor agents in the presence of mean-field interactions. The individual admissible controls are constrained in closed convex…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…
In this work we provide a simple setting that connects the structural modelling approach of Gai-Kapadia interbank networks with the mean-field approach to default contagion. To accomplish this we make two key contributions. First, we…
This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters…
Many resources are provided by an ecological system that is vulnerable to tipping when exceeding a certain level of pollution, with a sudden big loss of ecosystem services. An ecological system is usually also a common-pool resource and…
A class of nonzero-sum stochastic dynamic games with imperfect information structure is investigated. The game involves an arbitrary number of players, modeled as homogeneous Markov decision processes, aiming to find a sequential Nash…
Recently, invariant risk minimization (IRM) (Arjovsky et al.) was proposed as a promising solution to address out-of-distribution (OOD) generalization. In Ahuja et al., it was shown that solving for the Nash equilibria of a new class of…
This paper studies the limits of empirical means of open-loop Nash equilibria of linear-quadratic stochastic differential games as the number of players goes to infinity, when the corresponding mean field game is of potential type and may…
We study a class of linear-quadratic mean-field games with incomplete information. For each agent, the state is given by a linear forward stochastic differential equation with common noise. Moreover, both the state and control variables can…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
This paper studies approximate solutions to large-scale linear quadratic stochastic games with homogeneous nodal dynamics parameters and heterogeneous network couplings within the graphon mean field game framework in [2]-[4]. A graphon…
This paper investigates a class of mixed stochastic linear-quadratic-Gaussian (LQG) social optimization and Nash game in the context of a large scale system. Two types of interactive agents are involved: a major agent and a large number of…
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…
We study the linear-quadratic control problem for a class of non-exchangeable mean-field systems, which model large populations of heterogeneous interacting agents. We explicitly characterize the optimal control in terms of a new…
This paper studies social optima and Nash games for mean field linear quadratic control systems, where subsystems are coupled via dynamics and individual costs. For the social control problem, we first obtain a set of forward-backward…
This paper addresses the distributed Nash Equilibrium seeking problem for aggregative games, where legitimate players' decisions are affected by potential malicious players. To describe players' behavior, we introduce a novel heterogeneous…
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…
An interbank market lets participants pool the risk arising from the combination of illiquid investments and random withdrawals by depositors. But it also creates the potential for one bank's failure to trigger off avalanches of further…
Correlated equilibria arise naturally when agents communicate or rely on intermediaries such as recommendation systems. We study when a given Nash equilibrium can be improved within the set of correlated equilibria for general objectives.…
Empirically derived continuum models of collective behavior among large populations of dynamic agents are a subject of intense study in several fields, including biology, engineering and finance. We formulate and study a mean-field game…