Related papers: Mean Field Portfolio Games with Consumption
Mean field games (MFG) are dynamic games with infinitely many infinitesimal agents. In this context, we study the efficiency of Nash MFG equilibria: Namely, we compare the social cost of a MFG equilibrium with the minimal cost a global…
We study mean field games and corresponding $N$-player games in continuous time over a finite time horizon where the position of each agent belongs to a finite state space. As opposed to previous works on finite state mean field games, we…
This paper is concerned with non-zero sum differential games of mean-field stochastic differential equations with partial information and convex control domain. First, applying the classical convex variations, we obtain stochastic maximum…
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…
The recent mean field game (MFG) formalism facilitates otherwise intractable computation of approximate Nash equilibria in many-agent settings. In this paper, we consider discrete-time finite MFGs subject to finite-horizon objectives. We…
We investigate the sensitivity of the Nash equilibrium of constrained network aggregative games to changes in exogenous parameters affecting the cost function of the players. This setting is motivated by two applications. The first is the…
Equilibria of realistic multiplayer games constitute a key solution concept both in practical applications, such as online advertising auctions and electricity markets, and in analytical frameworks used to study strategic voting in…
Stochastic games generalize Markov decision processes (MDPs) to a multiagent setting by allowing the state transitions to depend jointly on all player actions, and having rewards determined by multiplayer matrix games at each state. We…
In stochastic dynamic games, when the number of players is sufficiently large and the interactions between agents depend on empirical state distribution, one way to approximate the original game is to introduce infinite-population limit of…
This paper presents an asset pricing model in an incomplete market involving a large number of heterogeneous agents based on the mean field game theory. In the model, we incorporate habit formation in consumption preferences, which has been…
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…
This paper studies the limits of empirical means of open-loop Nash equilibria of linear-quadratic stochastic differential games as the number of players goes to infinity, when the corresponding mean field game is of potential type and may…
This paper studies a competitive optimal portfolio selection problem in a model where the interest rate, the appreciation rate and volatility rate of the risky asset are all stochastic processes, thus forming a non-Markovian financial…
Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players…
The designs of many large-scale systems today, from traffic routing environments to smart grids, rely on game-theoretic equilibrium concepts. However, as the size of an $N$-player game typically grows exponentially with $N$, standard game…
We study a class of deterministic mean field games on finite and infinite time horizons arising in models of optimal exploitation of exhaustible resources. The main characteristic of our game is an absorption constraint on the players'…
We investigate mean-field games from the point of view of a large number of indistinguishable players which eventually converges to infinity. The players are weakly coupled via their empirical measure. The dynamics of the states of the…
We introduce a new mean field kinetic model for systems of rational agents interacting in a game theoretical framework. This model is inspired from non-cooperative anonymous games with a continuum of players and Mean-Field Games. The large…
This paper continues the study of the mean field game (MFG) convergence problem: In what sense do the Nash equilibria of $n$-player stochastic differential games converge to the mean field game as $n\rightarrow\infty$? Previous work on this…
Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…