Related papers: Long-Term Average Impulse Control with Mean Field …
We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become…
We consider deterministic mean field games where the dynamics of a typical agent is non-linear with respect to the state variable and affine with respect to the control variable. Particular instances of the problem considered here are mean…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
This paper studies a general class of stochastic population processes in which agents interact with one another over a network. Agents update their behaviors in a random and decentralized manner according to a policy that depends only on…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
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…
In Mean Field Games of Controls, the dynamics of the single agent is influenced not only by the distribution of the agents, as in the classical theory, but also by the distribution of their optimal strategies. In this paper, we study…
This paper considers decentralized control and optimization methodologies for large populations of systems, consisting of several agents with different individual behaviors, constraints and interests, and affected by the aggregate behavior…
We consider an optimal control problem where the average welfare of weakly interacting agents is of interest. We examine the mean-field control problem as the fluid approximation of the N-agent control problem with the setup of finite-state…
In a mean field game of controls, a large population of identical players seek to minimize a cost that depends on the joint distribution of the states of the players and their controls. We first consider the classes of mean field games of…
We investigate mean-field games (MFG) in which agents can actively control their speed of access to information. Specifically, the agents can dynamically decide to obtain observations with reduced delay by accepting higher observation…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
In this paper, we focus on the control of the mean field equilibrium of non linear networks of the Langevin type in the limit of small noise. Using iterative linear approximations, we derive a formula that prescribes a control strategy in…
The purpose of this review paper is to present some recent results on the modeling and control of large systems of agents. We focus on particular applications where the agents are capable of independent actions instead of simply reacting to…
This paper studies social optimal control of mean field LQG (linear-quadratic-Gaussian) models with uncertainty. Specially, the uncertainty is represented by a uncertain drift which is common for all agents. A robust optimization approach…
The mean-field analysis of a multi-population agent-based model is performed. The model couples a particle dynamics driven by a nonlocal velocity with a Markow-type jump process on the probability that each agent has of belonging to a given…
We study a mean field game problem arising from the production control for multiple firms with price stickiness in the commodity market. The price dynamics for each firm is described as a (controlled) jump-diffusion process with mean-field…
In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus on one large trader in front of a…
We consider a jump-diffusion mean field control problem with regime switching in the state dynamics. The corresponding value function is characterized as the unique viscosity solution of a HJB master equation on the space of probability…
Given a large number of homogeneous players that are distributed across three possible states, we consider the problem in which these players have to control their transition rates, while minimizing a cost. The optimal transition rates are…