Related papers: A Mean Field Game for Capacity Expansion Modeling
This paper presents an application of mean field control to dynamic production optimization. Both noncooperative and cooperative solutions are considered. We first introduce a market of a large number of agents (firms) with sticky prices…
This study investigates long-term investment decisions in distributed photovoltaic panels by individual investors. We consider a setting where investment decisions are driven by expected revenue from participating in short-term electricity…
We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…
This paper studies the n-player game and the mean field game under the CRRA relative performance on terminal wealth, in which the interaction occurs by peer competition. In the model with n agents, the price dynamics of underlying risky…
Knowledge spillovers occur when a firm researches a new technology and that technology is adapted or adopted by another firm, resulting in a social value of the technology that is larger than the initially predicted private value. As a…
We design a market-making model \`a la Avellaneda-Stoikov in which the market-takers act strategically, in the sense that they design their trading strategy based on an exogenous trading signal. The market-maker chooses her quotes based on…
We study a stochastic game framework with dynamic set of players, for modeling and analyzing their computational investment strategies in distributed computing. Players obtain a certain reward for solving the problem or for providing their…
Mean field games (MFGs) have been introduced to study Nash equilibria in very large population of self-interested agents. However, when applied to common pool resource (CPR) games, MFG equilibria lead to the so-called tragedy of the commons…
This paper studies the connections between mean-field games and the social welfare optimization problems. We consider a mean field game in functional spaces with a large population of agents, each of which seeks to minimize an individual…
This paper proposes a methodology to solve generation expansion equilibrium problems by using a predictive model to represent the equilibrium in a simplified network constrained electricity market. The investment problem for each generation…
In a mean field game of controls, players seek to minimize a cost that depends on the joint distribution of players' states and controls. We consider an ergodic problem for second-order mean field games of controls with state constraints,…
We study a market mechanism that sets edge prices to incentivize strategic agents to efficiently share limited network capacity. In this market, agents form coalitions, with each coalition sharing a unit capacity of a selected route and…
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…
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…
The recent rise of renewable energy produced by many decentralized sources yields interesting market design challenges for electrical grids. Balancing supply and demand in such networks is both a temporal and spatial challenge due to…
Renewable energy is increasingly being curtailed, due to oversupply or network constraints. Curtailment can be partially avoided by smart grid management, but the long term solution is network reinforcement. Network upgrades, however, can…
We study mean field games with unbounded coefficients. The existence of a solution is proved. We propose a new approach based on Fokker-Planck-Kolmogorov equations, the Ambrosio-Figalli-Trevisan superposition principle, the method of…
We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common investment horizon in log-normal markets. We construct explicit constant…
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…
We consider mean field social optimization in nonlinear diffusion models. By dynamic programming with a representative agent employing cooperative optimizer selection, we derive a new Hamilton--Jacobi--Bellman (HJB) equation to be called…