Related papers: On monotonicity conditions for Mean Field Games
A fundamental problem with the Nash equilibrium concept is the existence of certain "structurally deficient" equilibria that (i) lack fundamental robustness properties, and (ii) are difficult to analyze. The notion of a "regular" Nash…
In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…
This paper studies mean field games for multi-agent systems with control-dependent multiplicative noises. For the general systems with nonuniform agents, we obtain a set of decentralized strategies by solving an auxiliary limiting optimal…
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 work is mainly concerned with the so-called limit theory for mean-field games. Adopting the weak formulation paradigm put forward by Carmona and Lacker, we consider a fully non-Markovian setting allowing for drift control and…
The goal of this paper is to show existence of short-time classical solutions to the so called Master Equation of \emph{first order} Mean Field Games, which can be thought of as the limit of the corresponding master equation of a stochastic…
We introduce a novel class of Nash equilibrium seeking dynamics for non-cooperative games with a finite number of players, where the convergence to the Nash equilibrium is bounded by a KL function with a settling time that can be upper…
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…
We introduce a mean field model for optimal holding of a representative agent of her peers as a natural expected scaling limit from the corresponding $N-$agent model. The induced mean field dynamics appear naturally in a form which is not…
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…
We study mean field games for large non--exchangeable populations with moderate local interactions and common noise. The finite--player system is driven by two complementary interaction mechanisms : a graphon--type structure, which encodes…
We study a sequence of symmetric $n$-player stochastic differential games driven by both idiosyncratic and common sources of noise, in which players interact with each other through their empirical distribution. The unique Nash equilibrium…
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…
To generalize complementarities for games, we introduce some conditions weaker than quasisupermodularity and the single crossing property. We prove that the Nash equilibria of a game satisfying these conditions form a nonempty complete…
We consider stationary viscous Mean-Field Games systems in the case of local, decreasing and unbounded coupling. These systems arise in ergodic mean-field game theory, and describe Nash equilibria of games with a large number of agents…
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…
In this paper, we consider a mean field game (MFG) model perturbed by small common noise. Our goal is to give an approximation of the Nash equilibrium strategy of this game using a solution from the original no common noise MFG whose…
This paper develops a unified framework for testing monotonicity of Bayesian Nash equilibrium strategies in unobserved types in games of incomplete information. We show that, under symmetric independent private types, monotonicity of…
We provide an abstract framework for submodular mean field games and identify verifiable sufficient conditions that allow to prove existence and approximation of strong mean field equilibria in models where data may not be continuous with…
In this work, we present a novel characterization of approximate Nash equilibria in a class of convex games over the simplex. To achieve this, we regularize the utility functions using the Shannon entropy term, connect the solutions to the…