Related papers: Continuous-Time Heterogeneous Agent Models with Re…
Matching games is a one-to-one two sided market model introduced by Garrido-Lucero and Laraki, in which coupled agents' utilities are endogenously determined as the outcome of a strategic game. They refine the classical pairwise stability…
In this paper, we first address a linear quadratic mean-field game problem with a leader-follower structure. By adopting a Riccati-type approach, we show how one can obtain a state-feedback representation of the pairs of strategies which…
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…
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…
We propose and investigate a general class of discrete time and finite state space mean field game (MFG) problems with potential structure. Our model incorporates interactions through a congestion term and a price variable. It also allows…
We introduce a model of dynamic matching with transferable utility, extending the static model of Shapley and Shubik (1971). Forward-looking agents have individual states that evolve with current matches. Each period, a matching market with…
Across science and engineering, mean-field methods have been a powerful and versatile approach for the analysis of systems of many interacting elements. However, common arguments used to characterize an infinite population limit can be…
Evolutionary game theory is a mathematical toolkit to analyse the interactions that an individual agent has in a population and how the composition of strategies in this population evolves over time. While it can provide neat solutions to…
In stochastic dynamic games, when the number of players is sufficiently large and the interactions between agents depend on empirical state distribution, one way to approximate the original game is to introduce infinite-population limit of…
The objective of this paper is to analyze the existence of equilibria for a class of deterministic mean field games of controls. The interaction between players is due to both a congestion term and a price function which depends on the…
This paper studies the relations between agent performances and their intellective abilities in mix-games in which there are two groups of agents: one group plays a minority game, and the other plays a majority game. These two groups have…
In this paper we investigate a generalisation of a Boltzmann mean field game (BMFG) for knowledge growth, originally introduced by the economists Lucas and Moll. In BMFG the evolution of the agent density with respect to their knowledge…
In many real-world scenarios, a team of agents coordinate with each other to compete against an opponent. The challenge of solving this type of game is that the team's joint action space grows exponentially with the number of agents, which…
This paper considers mean field games in a multi-agent Markov decision process (MDP) framework. Each player has a continuum state and binary action. By active control, a player can bring its state to a resetting point. All players are…
We introduce an infinite-horizon, continuous-time portfolio selection problem faced by an agent with periodic S-shaped preference and present bias. The inclusion of a quasi-hyperbolic discount function leads to time-inconsistency and we…
This paper presents an asset pricing model in an incomplete market involving a large number of heterogeneous agents based on the mean field game theory. In the model, we incorporate habit formation in consumption preferences, which has been…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…
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…
An alternate Lagrangian scheme at discrete times is proposed for the approximation of a nonlinear continuity equation arising as a mean-field limit of spatially inhomogeneous evolutionary games, describing the evolution of a system of…
We consider a coalition formation setting where each agent belongs to one of the two types, and agents' preferences over coalitions are determined by the fraction of the agents of their own type in each coalition. This setting differs from…