Related papers: Two sided ergodic singular control and mean field …
This paper builds on the work of Degond, Herty and Liu by considering N-player stochastic differential games. The control corresponding to a Nash equilibrium of such a game is approximated through model predictive control (MPC) techniques.…
In this work, we systematically investigate mean field games and mean field type control problems with multiple populations using a coupled system of forward-backward stochastic differential equations of McKean-Vlasov type stemming from…
Bellman equations of ergodic type related to risk-sensitive control are considered. We treat the case that the nonlinear term is positive quadratic form on first-order partial derivatives of solution, which includes linear exponential…
This paper develops a linear programming approach for mean field games with reflected jump-diffusion dynamics. We first prove the equivalence between the mean field equilibria in the linear programming formulation and those in the weak…
In this article, we study the global-in-time well-posedness of second order mean field games (MFGs) with both nonlinear drift functions simultaneously depending on the state, distribution and control variables, and the diffusion term…
We introduce a class of fully nonlinear mean field games posed in $[0,T]\times\mathbb{R}^d$. We justify that they are related to controlled local or nonlocal diffusions, and more generally in our setting, to a new control interpretation…
We propose a toy model for a stochastic description of the competition between two athletes of unequal strength, whose average strength difference is represented by a parameter $d$. The athletes interact through the choice of their…
In this paper we establish a new connection between a class of 2-player nonzero-sum games of optimal stopping and certain $2$-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is…
We consider a class of dynamic collective choice models with social interactions, whereby a large number of non-uniform agents have to individually settle on one of multiple discrete alternative choices, with the relevance of their would-be…
This paper is concerned with a new class of mean-field games which involve a finite number of agents. Necessary and sufficient conditions are obtained for the existence of the decentralized open-loop Nash equilibrium in terms of…
We propose a new approach to mean field games with major and minor players. Our formulation involves a two player game where the optimization of the representative minor player is standard while the major player faces an optimization over…
We study a class of deterministic mean field games on finite and infinite time horizons arising in models of optimal exploitation of exhaustible resources. The main characteristic of our game is an absorption constraint on the players'…
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 class of linear-quadratic-Gaussian mean-field games with a major agent and considerable heterogeneous minor agents in the presence of mean-field interactions. The individual admissible controls are constrained in closed convex…
This paper investigates a class of general linear-quadratic mean field games with common noise, where the diffusion terms of the system contain the state variables, control variables, and the average state terms. We solve the problem using…
This paper considers a class of mean field linear-quadratic-Gaussian (LQG) games with model uncertainty. The drift term in the dynamics of the agents contains a common unknown function. We take a robust optimization approach where a…
In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an It\^o diffusion via one-sided singular stochastic control, aiming to…
This paper explores distributed Nash equilibrium seeking problems for games in which the players have limited knowledge on other players' actions. In particular, the involved players are considered to be high-order integrators with their…
We study the mean field game problem for a nervous system consisting of a large number of neurons with mean-field interaction. In this system, each neuron can modulate its spiking activity by controlling its membrane potential to…
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…