Related papers: Mean Field Portfolio Games
We investigate stochastic utility maximization games under relative performance concerns in both finite-agent and infinite-agent (graphon) settings. An incomplete market model is considered where agents with power (CRRA) utility functions…
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…
In this paper, we study the infinite-time mean field games with discounting, establishing an equilibrium where individual optimal strategies collectively regenerate the mean-field distribution. To solve this problem, we partition all agents…
This paper builds on the work of Degond, Herty and Liu by considering N-player stochastic differential games. The control corresponding to a Nash equilibrium of such a game is approximated through model predictive control (MPC) techniques.…
We investigate a mean field game model for the production of exhaustible resources. In this model, firms produce comparable goods, strategically set their production rate in order to maximise profit, and leave the market as soon as they…
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 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…
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…
In this paper, we investigate a class of mean field games where the mean field interactions are achieved through the joint (conditional) distribution of the controlled state and the control process. The strategies are of $open\;loop$ type,…
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…
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…
This paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using the mean field game theory. In this model, we assume that investors can only observe stock prices and must infer…
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 propose a new approach to mean field games with major and minor players. Our formulation involves a two player game where the optimization of the representative minor player is standard while the major player faces an optimization over…
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…
We study a class of dynamic decision problems of mean field type with time inconsistent cost functionals, and derive a stochastic maximum principle to characterize subgame perfect Nash equilibrium points. Subsequently, this approach is…
We consider existence and uniqueness of Nash equilibria in an $N$-player game of utility maximization under relative performance criteria of multiplicative form in complete semimartingale markets. For a large class of players' utility…
The theory of mean field games is a tool to understand noncooperative dynamic stochastic games with a large number of players. Much of the theory has evolved under conditions ensuring uniqueness of the mean field game Nash equilibrium.…
This paper analyzes a class of infinite-time-horizon stochastic games with singular controls motivated from the partially reversible problem. It provides an explicit solution for the mean-field game (MFG) and presents sensitivity analysis…
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…