Related papers: Mean Field Portfolio Games
We show the convergence of finite state symmetric N-player differential games, where players control their transition rates from state to state, to a limiting dynamics given by a finite state Mean Field Game system made of two coupled…
We introduce a simple class of mean field games with absorbing boundary over a finite time horizon. In the corresponding $N$-player games, the evolution of players' states is described by a system of weakly interacting It\^o equations with…
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…
We investigate how the framework of mean-field games may be used to investigate strategic interactions in large heterogeneous populations. We consider strategic interactions in a population of players which may be partitioned into…
This paper studies singular mean field control problems and singular mean field stochastic differential games. Both sufficient and necessary conditions for the optimal controls and for the Nash equilibrium are obtained. Under some…
The standard solution concept for stochastic games is Markov perfect equilibrium (MPE); however, its computation becomes intractable as the number of players increases. Instead, we consider mean field equilibrium (MFE) that has been…
The design of coherent and efficient policies to address infectious diseases and their consequences requires to model not only epidemics dynamics, but also individual behaviors, as the latter has a strong influence on the former. In our…
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…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
We provide an in-depth study of Nash equilibria in multi-objective normal form games (MONFGs), i.e., normal form games with vectorial payoffs. Taking a utility-based approach, we assume that each player's utility can be modelled with a…
We consider two classes of constrained finite state-action stochastic games. First, we consider a two player nonzero sum single controller constrained stochastic game with both average and discounted cost criterion. We consider the same…
Mean field games are studied in the framework of controlled martingale problems, and general existence theorems are proven in which the equilibrium control is Markovian. The framework is flexible enough to include degenerate volatility,…
We consider a class of continuous-time dynamic games involving a large number of players. Each player selects actions from a finite set and evolves through a finite set of states. State transitions occur stochastically and depend on the…
We study the mean field game problem for a nervous system consisting of a large number of neurons with mean-field interaction. In this system, each neuron can modulate its spiking activity by controlling its membrane potential to…
We investigate a stochastic differential game in which a major player has a private information (the knowledge of a random variable), which she discloses through her control to a population of small players playing in a Nash Mean Field Game…
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 considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average…
This article introduces a novel mean-field game model for multi-sector economic growth in which a dynamically evolving externality, influenced by the collective actions of agents, plays a central role. Building on classical growth theories…
In this study, we analyze an advertising competition in a duopoly. We consider two different notions of equilibrium. We model the companies in the duopoly as major players, and the consumers as minor players. In our first game model we…
We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game.…