Related papers: Monotone solutions for mean field games master equ…
This paper studies the existence of minimal solutions to two-point boundary value problems for quasi-monotone dynamical systems. Specifically, the pointwise infimum of all supersolutions is shown to coincide with the minimal solution. This…
We use a simple N-player stochastic game with idiosyncratic and common noises to introduce the concept of Master Equation originally proposed by Lions in his lectures at the Coll\`ege de France. Controlling the limit N tends to the infinity…
We here address the question of restoration of uniqueness in mean-field games deriving from deterministic differential games with a large number of players. The general strategy for restoring uniqueness is inspired from earlier similar…
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…
The question of global existence or non-existence of solution to a given stochastic partial differential equation under some non-linear conditions always comes to mind. To show that our weak-predictable random field solutions do not have…
We consider a stationary Mean Field Games system defined on a network. In this framework, the transition conditions at the vertices play a crucial role: the ones here considered are based on the optimal control interpretation of the…
We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…
This paper concerns the simultaneous effect of homogenization and of the small noise limit for a $2^{\textrm {nd}}$ order mean field games (MFG) system with local coupling and quadratic Hamiltonian. We show under some additional assumptions…
In a monotonic sequence game, two players alternately choose elements of a sequence from some fixed ordered set. The game ends when the resulting sequence contains either an ascending subsequence of length a or a descending one of length d.…
Mean field games allow to describe tractable models of dynamic games with a continuum of players, explicit interaction and heterogeneous states. Thus, these models are of great interest for socio-economic applications. A particular class of…
In this paper we present a numerical scheme to solve coupled mean field forward-backward stochastic differential equations driven by monotone vector fields. This is based on an adaptation of so called extragradient methods by characterizing…
Generalized circuits are an important tool in the study of the computational complexity of equilibrium approximation problems. However, in this paper, we reveal that they have a conceptual flaw, namely that the solution concept is not…
The planning problem for the mean field game implies the one tries to transfer the system of infinitely many identical rational agents from the given distribution to the final one using the choice of the terminal payoff. It can be…
We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…
We introduce a nonconvex Mean Field Games system by studying a model with a large number of identical pairs of players who are all rational, and each pair plays an identical zero-sum differential game. We study existence and uniqueness of…
Here, we consider numerical methods for stationary mean-field games (MFG) and investigate two classes of algorithms. The first one is a gradient-flow method based on the variational characterization of certain MFG. The second one uses…
This paper studies a discrete-time major-minor mean field game of stopping where the major player can choose either an optimal control or stopping time. We look for the relaxed equilibrium as a randomized stopping policy, which is…
Mean field game facilitates analyzing multi-armed bandit (MAB) for a large number of agents by approximating their interactions with an average effect. Existing mean field models for multi-agent MAB mostly assume a binary reward function,…
We show that the long time average of solutions of first order mean field game systems in finite horizon is governed by an ergodic system of mean field game type. The well-posedness of this later system and the uniqueness of the ergodic…
We investigate the resolution of second-order, potential, and monotone mean field games with the generalized conditional gradient algorithm, an extension of the Frank-Wolfe algorithm. We show that the method is equivalent to the fictitious…