Related papers: A Mean Field Game between Informed Traders and a B…
Mean Field Games (MFG) have been introduced to tackle games with a large number of competing players. Considering the limit when the number of players is infinite, Nash equilibria are studied by considering the interaction of a typical…
Mean-Field Games are games with a continuum of players that incorporate the time-dimension through a control-theoretic approach. Recently, simpler approaches relying on the Best Reply Strategy have been proposed. They assume that the agents…
We consider a class of two-player dynamic stochastic nonzero-sum games where the state transition and observation equations are linear, and the primitive random variables are Gaussian. Each controller acquires possibly different dynamic…
Mean field game equilibria are predicated on the assumption of immediate pairwise interactions within a population of homogeneous agents with asymptotically vanishing influence as population size increases. However, in many real-world…
Financial markets and more generally macro-economic models involve a large number of individuals interacting through variables such as prices resulting from the aggregate behavior of all the agents. Mean field games have been introduced to…
We model the trading activity between a broker and her clients (informed and uninformed traders) as an infinite-horizon stochastic control problem. We derive the broker's optimal dealing strategy in closed form and use this to introduce an…
We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider…
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.…
A class of nonzero-sum stochastic dynamic games with imperfect information structure is investigated. The game involves an arbitrary number of players, modeled as homogeneous Markov decision processes, aiming to find a sequential Nash…
In this paper, we propose and study a mean field game model with multiple populations of minor players and multiple major players, motivated by applications to the regulation of carbon emissions. Each population of minor players represent a…
A model of stochastic games where multiple controllers jointly control the evolution of the state of a dynamic system but have access to different information about the state and action processes is considered. The asymmetry of information…
This paper presents a general mean-field game (GMFG) framework for simultaneous learning and decision-making in stochastic games with a large population. It first establishes the existence of a unique Nash Equilibrium to this GMFG, and…
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…
We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and the mean-field interaction of the representative company…
We consider a class of $N$-player games and mean-field games of singular controls with ergodic performance criterion, providing a benchmark case for irreversible investment games featuring mean-field interaction and strategic…
Mean field games formalize dynamic games with a continuum of players and explicit interaction where the players can have heterogeneous states. As they additionally yield approximate equilibria of corresponding $N$-player games, they are of…
This article studies linear-quadratic Stackelberg games between two dominating players (or equivalently, leaders) and a large group of followers, each of whom interacts under a mean field game (MFG) framework. Unlike the conventional…
We consider a class of mean field games in which the agents interact through both their states and controls, and we focus on situations in which a generic agent tries to adjust her speed (control) to an average speed (the average is made in…
In the framework of continuous time symmetric stochastic differential games in open loop strategies, we introduce a generalization of mean field game solution, called coarse correlated solution. This can be seen as the analogue of a coarse…
This work builds on the theoretical frameworks presented in "Liquidity pools as mean field games: A new framework" and "Liquidity pools as mean field games with transaction costs" by the same author, where the strategic interactions among…