Related papers: $N$-Player Stochastic Differential Games with Regi…

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 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.…

We investigate mean-field games from the point of view of a large number of indistinguishable players which eventually converges to infinity. The players are weakly coupled via their empirical measure. The dynamics of the states of the…

We investigate mean field games for players, who are weakly coupled via their empirical measure. To this end we investigate time-dependent pure jump type propagators over a finite space in the framework of non-linear Markov processes. We…

We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…

This paper studies a class of stationary mean-field games of singular stochastic control with regime-switching. The representative agent adjusts the dynamics of a Markov-modulated It\^o-diffusion via a two-sided singular stochastic control…

This paper studies a large population dynamic game involving nonlinear stochastic dynamical systems with agents of the following mixed types: (i) a major agent, and (ii) a population of $N$ minor agents where $N$ is very large. The major…

Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical setting, the number of players is large but fixed throughout…

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…

Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players…

We are interested in the study of stochastic games for which each player faces an optimal stopping problem. In our setting, the players may interact through the criterion to optimise as well as through their dynamics. After briefly…

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…

We consider a general class of nonzero-sum $N$-player stochastic games with impulse controls, where players control the underlying dynamics with discrete interventions. We adopt a verification approach and provide sufficient conditions for…

One of the contributions of this work is to formulate the problem of energy-efficient power control in multiple access channels (namely, channels which comprise several transmitters and one receiver) as a stochastic differential game. The…

We study mean field games and corresponding $N$-player games in continuous time over a finite time horizon where the position of each agent belongs to a finite state space. As opposed to previous works on finite state mean field games, we…

We investigate a time-inconsistent, non-Markovian finite-player game in continuous time, where each player's objective functional depends non-linearly on the expected value of the state process. As a result, the classical Bellman optimality…

Mean field games (MFGs) offer a powerful framework for modeling large-scale multi-agent systems. This paper addresses MFGs formulated in continuous time with discrete state spaces, where agents' dynamics are governed by continuous-time…

We propose a new approach to mean field games with major and minor players. Our formulation involves a two player game where the optimization of the representative minor player is standard while the major player faces an optimization over…

We study Nash equilibria for a sequence of symmetric $N$-player stochastic games of finite-fuel capacity expansion with singular controls and their mean-field game (MFG) counterpart. We construct a solution of the MFG via a simple iterative…

Mean field games (MFGs) model equilibria in games with a continuum of weakly interacting players as limiting systems of symmetric $n$-player games. We consider the finite-state, infinite-horizon problem with ergodic cost. Assuming Markovian…