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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 propose a mean field game (MFG) framework to model the evolution of renewable energy production in competitive electricity markets. Producers interact through the spot price while optimising their profits under production, installation,…
The framework of Mean-field Games (MFGs) is used for modelling the collective dynamics of large populations of non-cooperative decision-making agents. We formulate and analyze a kinetic MFG model for an interacting system of non-cooperative…
We study discrete-time, finite-state mean-field games (MFGs) under model uncertainty, where agents face ambiguity about the state transition probabilities. Each agent maximizes its expected payoff against the worst-case transitions within…
This paper studies the optimal investment behavior of renewable electricity producers in a competitive market, where both prices and installation costs are influenced by aggregate industry activity. We model the resulting crowding effects…
Empirically derived continuum models of collective behavior among large populations of dynamic agents are a subject of intense study in several fields, including biology, engineering and finance. We formulate and study a mean-field game…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
Mean-field game theory relies on approximating games that are intractable to model due to a very large to infinite population of players. While these kinds of games can be solved analytically via the associated system of partial…
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…
In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…
In this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize…
We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally concerned and neutral investors. Firms face a trade-off…
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…
Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…
We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical…
In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of…
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…
This paper presents recent results from Mean Field Game theory underlying the introduction of common noise that imposes to incorporate the distribution of the agents as a state variable. Starting from the usual mean field games equations…
This paper studies the equilibrium consumption under external habit formation in a large population of agents. We first formulate problems under two types of conventional habit formation preferences, namely linear and multiplicative…
We study the impact of transition scenario uncertainty, namely that of future carbon price and electricity demand, on the pace of decarbonization of the electricity industry. To this end, we develop a theory of optimal stopping mean-field…