Related papers: Forward utilities and Mean-field games under relat…
We consider continuous-time heterogeneous agent models with recursive utility (Epstein-Zin utility) cast as mean field games, in which agents prefer late resolution of uncertainty. The model leads to a system coupling a pair of…
In this book, we present a curated collection of existing results on inverse problems for Mean Field Games (MFGs), a cutting-edge and rapidly evolving field of research. Our aim is to provide fresh insights, novel perspectives, and a…
This paper studies the mean field game (MFG) problem arising from a large population competition in fund management, featuring a new type of relative performance via the benchmark tracking. In the $n$-player model, each agent aims to…
In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…
In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an It\^o diffusion via one-sided singular stochastic control, aiming to…
In this work we discuss an Mean Field Games approach to traffic management on multi-lane roads. Such approach is particularly indicated to model self driven vehicles with perfect information of the domain. The mathematical interest of the…
This thesis is going to give a gentle introduction to Mean Field Games. It aims to produce a coherent text beginning for simple notions of deterministic control theory progressively to current Mean Field Games theory. The framework…
We consider Mean Field Games without idiosyncratic but with Brownian type common noise. We introduce a notion of solutions of the associated backward-forward system of stochastic partial differential equations. We show that the solution…
The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HFTs are faster in the sense that they trade continuously and…
We study optimal control for mean-field forward backward stochastic differential equations with payoff functionals of mean-field type. Sufficient and necessary optimality conditions in terms of a stochastic maximum principle are derived. As…
This paper studies the competition among multiple fund managers with relative performance over the excess logarithmic return. Fund managers compete with each other and have expected utility or mean-variance criteria for excess logarithmic…
This paper studies the connections between mean-field games and the social welfare optimization problems. We consider a mean field game in functional spaces with a large population of agents, each of which seeks to minimize an individual…
This paper investigates an indefinite linear-quadratic partially observed mean-field game with common noise, incorporating both state-average and control-average effects. In our model, each agent's state is observed through both individual…
We study the forward-backward system of stochastic partial differential equations describing a mean field game for a large population of small players subject to both idiosyncratic and common noise. The unique feature of the problem is that…
Mean field games are limit models for symmetric $N$-player games with interaction of mean field type as $N\to\infty$. The limit relation is often understood in the sense that a solution of a mean field game allows to construct approximate…
In this work, we systematically investigate mean field games and mean field type control problems with multiple populations using a coupled system of forward-backward stochastic differential equations of McKean-Vlasov type stemming from…
Recent advances in mean-field game literature enable the reduction of large-scale multi-agent problems to tractable interactions between a representative agent and a population distribution. However, existing approaches typically assume a…
We study mean field portfolio games under Epstein-Zin preferences, which naturally encompass the classical time-additive power utility as a special case. In a general non-Markovian framework, we establish a uniqueness result by proving a…
This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…