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We present a linear--quadratic Stackelberg game with a large number of followers and we also derive the mean field limit of infinitely many followers. The relation between optimization and mean-field limit is studied and conditions for…
This paper analyzes a class of infinite-time-horizon stochastic games with singular controls motivated from the partially reversible problem. It provides an explicit solution for the mean-field game (MFG) and presents sensitivity analysis…
Many real-world problems modeled by stochastic games have huge state and/or action spaces, leading to the well-known curse of dimensionality. The complexity of the analysis of large-scale systems is dramatically reduced by exploiting mean…
Many problems in quantum information theory can be vied as interconversion between resources. In this talk, we apply this view point to state estimation theory, motivated by the following observations. First, a monotone metric takes value…
We propose two novel frameworks to study the price formation of an asset negotiated in an order book. Specifically, we develop a game-theoretic model in many-person games and mean-field games, considering costs stemming from limited…
In a probabilistic mean field game driven by a L\'evy process an individual player aims to minimize a long run discounted/ergodic cost by controlling the process through a pair of increasing and decreasing c\`adl\`ag processes, while he is…
In this paper, we study large population multi-agent reinforcement learning (RL) in the context of discrete-time linear-quadratic mean-field games (LQ-MFGs). Our setting differs from most existing work on RL for MFGs, in that we consider a…
Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…
We consider a mean-field model for large banking systems, which takes into account default and recovery of the institutions. Building on models used for groups of interacting neurons, we first study a McKean-Vlasov dynamics and its…
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…
We discuss and compare two methods of investigations for the asymptotic regime of stochastic differential games with a finite number of players as the number of players tends to the infinity. These two methods differ in the order in which…
An iterative finite difference scheme for mean field games (MFGs) is proposed. The target MFGs are derived from control problems for multidimensional systems with advection terms. For such MFGs, linearization using the Cole-Hopf…
Here, we observe that mean-field game (MFG) systems admit a two-player infinite-dimensional general-sum differential game formulation. We show that particular regimes of this game reduce to previously known variational principles.…
This paper studies a type of rank-based mean field game in which competing agents strategically switch among multiple effort regimes. We propose an entropy regularized auxiliary problem where the switching decisions are randomized to 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…
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…
In this paper, we study a priori estimates for a first-order mean-field planning problem with a potential. In the theory of mean-field games (MFGs), a priori estimates play a crucial role to prove the existence of classical solutions. In…
In this work, we propose novel offline and online Inverse Differential Game (IDG) methods for nonlinear Differential Games (DG), which identify the cost functions of all players from control and state trajectories constituting a feedback…
We consider a non-cooperative constrained stochastic games with N players with the following special structure. With each player there is an associated controlled Markov chain. The transition probabilities of the i-th Markov chain depend…
We establish a connection between federated learning, a concept from machine learning, and mean-field games, a concept from game theory and control theory. In this analogy, the local federated learners are considered as the players and the…