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Distributed Nash equilibrium (NE) seeking problem for multi-coalition games has attracted increasing attention in recent years, but the research mainly focuses on the case without agreement demand within coalitions. This paper considers a…
We formulate a mean field game where each player stops a privately observed Brownian motion with absorption. Players are ranked according to their level of stopping and rewarded as a function of their relative rank. There is a unique mean…
The price-bubble and crash process formation is theoretically investigated in a two-asset equilibrium model. Sufficient and necessary conditions are derived for the existence of average equilibrium price dynamics of different agent-based…
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 propose an approach to modelling large-scale multi-agent dynamical systems allowing interactions among more than just pairs of agents using the theory of mean field games and the notion of hypergraphons, which are obtained as limits of…
We consider an optimal control problem where the average welfare of weakly interacting agents is of interest. We examine the mean-field control problem as the fluid approximation of the N-agent control problem with the setup of finite-state…
In this work, we study a generalized Fisher market model that incorporates social influence. In this extended model, a buyer's utility depends not only on their own resource allocation but also on the allocations received by their…
In this work we are interested in the mean-field formulation of kinetic models under control actions where the control is formulated through a model predictive control strategy (MPC) with varying horizon. The relation between the (usually…
We study interactions with uncertainty about demand sensitivity. In our solution concept (1) firms choose seemingly-optimal strategies given the level of sophistication of their data analytics, and (2) the levels of sophistication form best…
In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a financial market consisting of a risk-free asset and a risky…
We consider seeking a Nash equilibrium (NE) of a monotone game, played by dynamic agents which are modeled as a class of lower-triangular nonlinear uncertain dynamics with external disturbances. We establish a general framework that…
In this paper we consider a mean field optimal control problem with an aggregation-diffusion constraint, where agents interact through a potential, in the presence of a Gaussian noise term. Our analysis focuses on a PDE system coupling a…
We consider a finite number of $N$ statistically equal agents, each moving on a finite set of states according to a continuous-time Markov Decision Process (MDP). Transition intensities of the agents and generated rewards depend not only on…
We propose a multi-agent model of an asset market and study conditions that guarantee that the strategy of an individual agent cannot outperform the market. The model assumes a mean-field approximation of the market by considering an…
Much work in AI deals with the selection of proper actions in a given (known or unknown) environment. However, the way to select a proper action when facing other agents is quite unclear. Most work in AI adopts classical game-theoretic…
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…
We study the traffic routing game among a large number of selfish drivers over a traffic network. We consider a specific scenario where the strategic drivers can be classified into teams, where drivers in the same team have identical payoff…
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…
We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…
We characterize zonal ancillary market coupling relying on noncooperative game theory. To that purpose, we formulate the ancillary market as a multi-leader single follower bilevel problem, that we subsequently cast as a generalized Nash…