Related papers: A Variational Approach For Price Formation Models …
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…
We analyze a fractional mean field game of controls system, showing existence of solutions when the order of the fractional Laplacian is $s\in(\frac{1}{2},1)$. Here the running cost depends on the distribution $\mu$ of not only the states…
A variational approach is employed to find stationary solutions to a free boundary problem modeling an idealized electrostatically actuated MEMS device made of an elastic plate coated with a thin dielectric film and suspended above a rigid…
We develop a splitting method to prove the well-posedness, in short time, of solutions for two master equations in mean field game (MFG) theory: the second order master equation, describing MFGs with a common noise, and the system of master…
Here we consider the following fractional Hamiltonian system \begin{equation*} \begin{cases} \begin{aligned} (-\Delta)^{s} u&=H_v(u,v) \;\;&&\text{in}~\Omega,\\ (-\Delta)^{s} v&=H_u(u,v) &&\text{in}~\Omega,\\ u &= v = 0 &&\text{in} ~…
This work explores the tensor and combinatorial constructs underlying the linearised higher-order variational equations of a generic autonomous system along a particular solution. The main result of this paper is a compact yet explicit and…
We use the Markov chain approximation method to construct approximations for the solution of the mean field game (MFG) with reflecting barriers studied in Bayraktar, Budhiraja, and Cohen (2017). The MFG is formulated in terms of a…
We study initial value problem for a system consisting of an integer order and distributed-order fractional differential equation describing forced oscillations of a body attached to a free end of a light viscoelastic rod. Explicit form of…
Existence and uniqueness of a weak solution for first order mean field game systems with local coupling are obtained by variational methods. This solution can be used to devise $\epsilon-$Nash equilibria for deterministic differential games…
Variational principles are important in the investigation of large classes of physical systems. They can be used both as analytical methods as well as starting points for the formulation of powerful computational techniques such as…
In this letter we are concerned with the possibility to approach the existence of solutions to a class of discontinuous dynamical systems of fractional order. In this purpose, the underlying initial value problem is transformed into a…
In this paper, we discuss differentiation of solutions to the boundary value problem $y^{(n)} = f(x, y, y^{'}, y^{''}, \ldots, y^{(n-1)}), \; a<x<b,\; y^{(i)}(x_j) = y_{ij},\; 0\leq i \leq m_j, \; 1 \leq j \leq k-1$, and $y^{(i)}(x_k) +…
Designing appropriate variational regularization schemes is a crucial part of solving inverse problems, making them better-posed and guaranteeing that the solution of the associated optimization problem satisfies desirable properties.…
We study the following functional equation that has arisen in the context of mechanical systems invariant under the Poincare algebra: \sum\limits_{i=1}^{n+1}\dfrac{\partial}{\partial x_{i}}\prod\limits_{j\neq i}f(x_{i}-x_{j}) =0,\qquad n…
We establish several closed pricing formula for various path-independent payoffs, under an exponential L\'evy model driven by the Variance Gamma process. These formulas take the form of quickly convergent series and are obtained via tools…
We study fractional variational problems in terms of a generalized fractional integral with Lagrangians depending on classical derivatives, generalized fractional integrals and derivatives. We obtain necessary optimality conditions for the…
This paper investigates open-loop and feedback solutions of linear quadratic mean field (MF) games with a leader and a large number of followers. The leader first gives its strategy and then all the followers cooperate to optimize the…
We establish existence and uniqueness of solutions to evolutive fractional Mean Field Game systems with regularizing coupling, for any order of the fractional Laplacian $s\in(0,1)$. The existence is addressed via the vanishing viscosity…
This paper studies a class of linear quadratic mean field games where the coefficients of quadratic cost functions depend on both the mean and the variance of the population's state distribution through its quantile function. Such a…
A method of calculation for the variational derivatives for gravitational actions in the pseudo-Riemannian case is proposed as a practical variant of the first order formalism with constraints. The method is then used to derive the metric…