Related papers: A Mean Field Game between Informed Traders and a B…
The purpose of this paper is to provide a complete probabilistic analysis of a large class of stochastic differential games for which the interaction between the players is of mean-field type. We implement the Mean-Field Games strategy…
In this article, we consider mean field games between a dominating player and a group of representative agents, each of which acts similarly and also interacts with each other through a mean field term being substantially influenced by the…
We consider a general class of finite-player stochastic games with mean-field interaction, in which the linear-quadratic cost functional includes linear operators acting on controls in $L^2$. We propose a novel approach for deriving the…
We introduce a mean field model for optimal holding of a representative agent of her peers as a natural expected scaling limit from the corresponding $N-$agent model. The induced mean field dynamics appear naturally in a form which is not…
We consider a continuum of carbon-emitting firms who seek to maximise their stock price, and a regulator (e.g., Government) who wishes for the economy to flourish, whilst simultaneously punishing firms who behave non-green. Interpreting the…
In this study, we investigate $N$-player stochastic differential games with regime switching, where the player dynamics are modulated by a finite-state Markov chain. We analyze the associated Nash system, which consists of a system of…
We investigate a mean field game model for the production of exhaustible resources. In this model, firms produce comparable goods, strategically set their production rate in order to maximise profit, and leave the market as soon as they…
The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HFTs are faster in the sense that they trade continuously and…
In this paper, we consider discrete-time dynamic games of the mean-field type with a finite number $N$ of agents subject to an infinite-horizon discounted-cost optimality criterion. The state space of each agent is a locally compact Polish…
We consider a symmetric $n$-player nonzero-sum stochastic differential game with controlled jumps and mean-field type interaction among the players. Each player minimizes some expected cost by affecting the drift as well as the jump part of…
The designs of many large-scale systems today, from traffic routing environments to smart grids, rely on game-theoretic equilibrium concepts. However, as the size of an $N$-player game typically grows exponentially with $N$, standard game…
In this paper, we present a model of a game among teams. Each team consists of a homogeneous population of agents. Agents within a team are cooperative while the teams compete with other teams. The dynamics and the costs are coupled through…
This thesis is going to give a gentle introduction to Mean Field Games. It aims to produce a coherent text beginning for simple notions of deterministic control theory progressively to current Mean Field Games theory. The framework…
The theory of mean field games is a tool to understand noncooperative dynamic stochastic games with a large number of players. Much of the theory has evolved under conditions ensuring uniqueness of the mean field game Nash equilibrium.…
The mean field limit of large-population symmetric stochastic differential games is derived in a general setting, with and without common noise, on a finite time horizon. Minimal assumptions are imposed on equilibrium strategies, which may…
We consider learning approximate Nash equilibria for discrete-time mean-field games with nonlinear stochastic state dynamics subject to both average and discounted costs. To this end, we introduce a mean-field equilibrium (MFE) operator,…
Coordinating communication and control is a key component in the stability and performance of networked multi-agent systems. While single user networked control systems have gained a lot of attention within this domain, in this work, we…
In a game theoretic framework, we study energy markets with a continuum of homogenous producers who produce energy from an exhaustible resource such as oil. Each producer simultaneously optimizes production rate that drives her revenues, as…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
We consider both $N$-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initially short position of stocks are only allowed to buy while…