Related papers: Multiple equilibria in mean-field game models for …

This paper analyzes and explicitly solves a class of long-term average impulse control problems with a specific mean-field interaction. The underlying process is a general one-dimensional diffusion with appropriate boundary behavior. The…

This work considers stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. We develop a new framework to prove convergence…

This paper formally models the strategic repeated interactions between a system, comprising of a machine learning (ML) model and associated explanation method, and an end-user who is seeking a prediction/label and its explanation for a…

In a situation of moral hazard, this paper investigates the problem of Principal with $n$ Agents when the number of Agents $n$ goes to infinity. There is competition between the Agents expressed by the fact that they optimize their utility…

We introduce a class of robust control problems formulated in min-max form, in which the principal agent is viewed as a central planner facing Nature. The agent's cost is a nonlinear function of all its possible realizations, encompassing…

Traditional solvable game theory and mean-field-type game theory (risk-aware games) predominantly focus on quadratic costs due to their analytical tractability. Nevertheless, they often fail to capture critical non-linearities inherent in…

We consider deterministic Mean Field Games (MFG) in all Euclidean space with a cost functional continuous with respect to the distribution of the agents and attaining its minima in a compact set. We first show that the static MFG with such…

In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…

We investigate the full dynamics of capital allocation and wealth distribution of heterogeneous agents in a frictional economy during booms and busts using tools from mean-field games. Two groups in our models, namely the expert and the…

This thesis develops equilibrium asset pricing models in incomplete markets with a large number of heterogeneous agents using mean field game theory. The market equilibrium is characterized by a novel form of mean field backward stochastic…

This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…

We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a…

In the paper we present a model of discrete-time mean-field game with several populations of players. Mean-field games with multiple populations of the players have only been studied in the literature in the continuous-time setting. The…

We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal and a private signal. The broker, on the other hand,…

We study a family of mean field games arising in modeling the behavior of strategic economic agents which move across space maximizing their utility from consumption and have the possibility to accumulate resources for production (such as…

This paper studies the equilibrium properties of the ``obvious strategy profile'' in large finite-player games. Each player in such a strategy profile simply adopts a randomized strategy as she would have used in a symmetric equilibrium of…

Mean-field games have been studied under the assumption of very large number of players. For such large systems, the basic idea consists to approximate large games by a stylized game model with a continuum of players. The approach has been…

We consider a model of nomadic agents exploring and competing for time-varying location-specific resources, arising in crowdsourced transportation services, online communities, and in traditional location based economic activity. This model…

In this paper, we consider a first-order mean field game model motivated by crowd motion in which agents evolve in a (not necessarily compact) metric space and wish to reach a given target set. Each agent aims to minimize the sum of their…

We explore a mechanism of decision-making in Mean Field Games with myopic players. At each instant, agents set a strategy which optimizes their expected future cost by assuming their environment as immutable. As the system evolves, the…