Related papers: On an inverse boundary problem for mean field game…
Mean field games (MFGs) provide a mathematically tractable framework for modelling large-scale multi-agent systems by leveraging mean field theory to simplify interactions among agents. It enables applying inverse reinforcement learning…
In the paper, we use the equivalent formulation of a finite state mean field game as a control problem with mixed constraints to study the dependence of solutions to finite state mean field game on an initial distribution of players. We…
This paper studies mean field game (MFG) of controls by featuring the joint distribution of the state and the control with the reflected state process along an exogenous stochastic reflection boundary. We contribute to the literature with a…
Inverse problems are prevalent in numerous scientific and engineering disciplines, where the objective is to determine unknown parameters within a physical system using indirect measurements or observations. The inherent challenge lies in…
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…
The inverse problem method is tested for a class of mean field statistical mechanics models representing a mixture of particles of different species. The robustness of the inversion is investigated for different values of the physical…
This paper studies an inverse boundary value problem for a semilinear Helmholtz equation with Neumann boundary conditions in a bounded domain $\Omega \subset \mathbb{R}^n$ ($n\ge2$). The objective is to recover the unknown linear and…
We consider a couple of integrodifferential PDEs arising from a stochastic Markovian control problem subjected to initial-terminal conditions. These equations correspond to the MFG system for a controlled jump-diffusion process. We prove…
We study a numerical approximation of a time-dependent Mean Field Game (MFG) system with local couplings. The discretization we consider stems from a variational approach described in [Briceno-Arias, Kalise, and Silva, SIAM J. Control…
We extend the methods from Nurbekyan, Saude "Fourier approximation methods for first-order nonlocal mean-field games" [Port. Math. 75 (2018), no. 3-4] and Liu, Jacobs, Li, Nurbekyan, Osher "Computational methods for nonlocal mean field…
We analyze a system of partial differential equations that model a potential mean field game of controls, briefly MFGC. Such a game describes the interaction of infinitely many negligible players competing to optimize a personal value…
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…
We consider the inverse problem of dynamic games, where cost function parameters are sought which explain observed behavior of interacting players. Maximum entropy inverse reinforcement learning is extended to the N-player case in order to…
This paper studies the competition among multiple fund managers with relative performance over the excess logarithmic return. Fund managers compete with each other and have expected utility or mean-variance criteria for excess logarithmic…
The recent mean field game (MFG) formalism has enabled the application of inverse reinforcement learning (IRL) methods in large-scale multi-agent systems, with the goal of inferring reward signals that can explain demonstrated behaviours of…
The intersection of Mean Field Games (MFGs) and Reinforcement Learning (RL) has fostered a growing family of algorithms designed to solve large-scale multi-agent systems. However, the field currently lacks a standardized evaluation…
Travel-time tomography seeks to recover a hidden environment from external measurements generated by propagation through an anomalous region. Standard formulations treat propagation as passive, so the environment influences observations…
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…
Motivated by the recent interests in asymmetric mean field games, this paper provides a general framework of Heterogeneous Mean Field Game (HMFG) that subsumes different formulations of graphon mean field games. The key feature of the HMFG…
This project investigates numerical methods for solving fully coupled forward-backward stochastic differential equations (FBSDEs) of McKean-Vlasov type. Having numerical solvers for such mean field FBSDEs is of interest because of the…