Related papers: Risk-averse mean field games: exploitability and n…
We consider a general class of nonzero-sum $N$-player stochastic games with impulse controls, where players control the underlying dynamics with discrete interventions. We adopt a verification approach and provide sufficient conditions for…
In this paper, we deepen the analysis of continuous time Fictitious Play learning algorithm to the consideration of various finite state Mean Field Game settings (finite horizon, $\gamma$-discounted), allowing in particular for the…
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…
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…
This paper establishes that a class of $N$-player stochastic games with singular controls, either of bounded velocity or of finite variation, can both be approximated by mean field games (MFGs) with singular controls of bounded velocity.…
We formulate the MFG limit for $N$ interacting agents with a common noise as a single quasi-linear deterministic infinite-dimensional partial differential second order backward equation. We prove that any its (regular enough) solution…
Mean-field reinforcement learning has become a popular theoretical framework for efficiently approximating large-scale multi-agent reinforcement learning (MARL) problems exhibiting symmetry. However, questions remain regarding the…
We study stationary mean field games with singular controls in which the representative player interacts with a long-time weighted average of the population through a discounted and an ergodic performance criterion. This class of games…
We propose a policy iteration method to solve an inverse problem for a mean-field game (MFG) model, specifically to reconstruct the obstacle function in the game from the partial observation data of value functions, which represent the…
In this paper, we address linear-quadratic-Gaussian (LQG) risk-sensitive mean field games (MFGs) with common noise. In this framework agents are exposed to a common noise and aim to minimize an exponential cost functional that reflects…
In this paper, we present a new development of inspection games in a mean field setting. In our dynamic version of an inspection game, there is one inspector and a large number N interacting inspectees with a finite state space. By applying…
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…
The theory of mean field games aims at studying deterministic or stochastic differential games (Nash equilibria) as the number of agents tends to infinity. Since very few mean field games have explicit or semi-explicit solutions, numerical…
This paper studies the mean field game (MFG) problem arising from a large population competition in fund management, featuring a new type of relative performance via the benchmark tracking. In the $n$-player model, each agent aims to…
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 consider a mean field game describing the limit of a stochastic differential game of $N$-players whose state dynamics are subject to idiosyncratic and common noise and that can be absorbed when they hit a prescribed region of the state…
The framework of Mean-field Games (MFGs) is used for modelling the collective dynamics of large populations of non-cooperative decision-making agents. We formulate and analyze a kinetic MFG model for an interacting system of non-cooperative…
Here, we examine a mean-field game (MFG) that models the economic growth of a population of non-cooperative rational agents. In this MFG, agents are described by two state variables - the capital and consumer goods they own. Each agent…
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…
In this paper, we investigate the interaction of two populations with a large number of indistinguishable agents. The problem consists in two levels: the interaction between agents of a same population, and the interaction between the two…