Related papers: Forward utilities and Mean-field games under relat…
In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of…
Here, we consider one-dimensional forward-forward mean-field games (MFGs) with congestion, which were introduced to approximate stationary MFGs. We use methods from the theory of conservation laws to examine the qualitative properties of…
Financial markets and more generally macro-economic models involve a large number of individuals interacting through variables such as prices resulting from the aggregate behavior of all the agents. Mean field games have been introduced to…
This paper studies the optimal investment behavior of renewable electricity producers in a competitive market, where both prices and installation costs are influenced by aggregate industry activity. We model the resulting crowding effects…
This paper presents recent results from Mean Field Game theory underlying the introduction of common noise that imposes to incorporate the distribution of the agents as a state variable. Starting from the usual mean field games equations…
In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive discounted-cost optimality criterion. Risk-sensitivity is introduced for each agent (player) via an exponential utility function. In…
This paper studies the connection between a class of mean-field games and a social welfare optimization problem. We consider a mean-field game in function spaces with a large population of agents, and each agent seeks to minimize an…
In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce risk-sensitivity behaviour for each agent via an exponential utility function. In the game model, each…
Mean field games and controls involve guiding the behavior of large populations of interacting agents, where each individual's influence on the group is negligible but collectively impacts overall dynamics. Hybrid systems integrate…
We introduce a mean field game for a family of filtering problems related to the classic sequential testing of the drift of a Brownian motion. To the best of our knowledge this work presents the first treatment of mean field filtering games…
In [14], Gueant, Lasry and Lions considered the model problem ``What time does meeting start?'' as a prototype for a general class of optimization problems with a continuum of players, called Mean Field Games problems. In this paper we…
Mean-field games have been studied under the assumption of very large number of players. For such large systems, the basic idea consists to approximate large games by a stylized game model with a continuum of players. The approach has been…
Concave Utility Reinforcement Learning (CURL) extends RL from linear to concave utilities in the occupancy measure induced by the agent's policy. This encompasses not only RL but also imitation learning and exploration, among others. Yet,…
We study discrete-time, finite-state mean-field games (MFGs) under model uncertainty, where agents face ambiguity about the state transition probabilities. Each agent maximizes its expected payoff against the worst-case transitions within…
Quantilized mean-field game models involve quantiles of the population's distribution. We study a class of such games with a capacity for ranking games, where the performance of each agent is evaluated based on its terminal state relative…
We discuss a class of explicitly solvable mean field type control problems/mean field games with a clear economic interpretation. More precisely, we consider long term average impulse control problems with underlying general one-dimensional…
In this letter, we study a class of linear-quadratic mean-field-type difference games with coupled affine inequality constraints. We show that the mean-field-type equilibrium can be characterized by the existence of a multiplier process…
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…
The theory of mean field games studies the limiting behaviors of large systems where the agents interact with each other in a certain symmetric way. The running and terminal costs are critical for the agents to decide the strategies.…
In this paper, we investigate the interaction of two populations with a large number of indistinguishable agents. The problem consists in two levels: the interaction between agents of a same population, and the interaction between the two…