Related papers: Two sided ergodic singular control and mean field …
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…
We consider strongly monotone games with convex separable coupling constraints, played by dynamical agents, in a partial-decision information scenario. We start by designing continuous-time fully distributed feedback controllers, based on…
The goal of the paper is to develop the theory of finite state mean field games with major and minor players when the state space of the game is finite. We introduce the finite player games and derive a mean field game formulation in the…
We study the asymptotic organization among many optimizing individuals interacting in a suitable "moderate" way. We justify this limiting game by proving that its solution provides approximate Nash equilibria for large but finite player…
We study the problem of computing an $\epsilon$-Nash equilibrium in repeated games. Earlier work by Borgs et al. [2010] suggests that this problem is intractable. We show that if we make a slight change to their model---modeling the players…
We construct numerical approximations for Mean Field Games with fractional or nonlocal diffusions. The schemes are based on semi-Lagrangian approximations of the underlying control problems/games along with dual approximations of the…
This paper studies an optimal investment-consumption problem for competitive agents with exponential or power utilities and a common finite time horizon. Each agent regards the average of habit formation and wealth from all peers as…
In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functional of the pay-off. By using a recursive construction, we…
The ergodic equation is a basic tool in the study of mean-payoff stochastic games. Its solvability entails that the mean payoff is independent of the initial state. Moreover, optimal stationary strategies are readily obtained from its…
This paper studies the connection between a class of mean-field games and a social welfare optimization problem. We consider a mean-field game in function spaces with a large population of agents, and each agent seeks to minimize an…
We study an $N$-player and a mean field exponential utility game. Each player manages two stocks; one is driven by an individual shock and the other is driven by a common shock. Moreover, each player is concerned not only with her own…
We study a stochastic differential game with $N$ competitive players in a linear-quadratic framework with ergodic cost, where $d$-dimensional diffusion processes govern the state dynamics with an unknown common drift (matrix). Assuming a…
We investigate how the framework of mean-field games may be used to investigate strategic interactions in large heterogeneous populations. We consider strategic interactions in a population of players which may be partitioned into…
We present some new results on sample path optimality for the ergodic control problem of a class of non-degenerate diffusions controlled through the drift. The hypothesis most often used in the literature to ensure the existence of an a.s.…
This paper addresses a class of network games played by dynamic agents using their outputs. Unlike most existing related works, the Nash equilibrium in this work is defined by functions of agent outputs instead of full agent states, which…
The central result of classical game theory states that every finite normal form game has a Nash equilibrium, provided that players are allowed to use randomized (mixed) strategies. However, in practice, humans are known to be bad at…
We introduce and investigate certain $N$ player dynamic games on the line and in the plane that admit Coulomb gas dynamics as a Nash equilibrium. Most significantly, we find that the universal local limit of the equilibrium is sensitive to…
In this contribution, the performance of a multi-user system is analyzed in the context of frequency selective fading channels. Using game theoretic tools, a useful framework is provided in order to determine the optimal power allocation…
Game theory studies situations in which strategic players can modify the state of a given system, due to the absence of a central authority. Solution concepts, such as Nash equilibrium, are defined to predict the outcome of such situations.…
Generating payoff matrices of normal-form games at random, we calculate the frequency of games with a unique pure strategy Nash equilibrium in the ensemble of $n$-player, $m$-strategy games. These are perfectly predictable as they must…