Related papers: Continuous-Time Heterogeneous Agent Models with Re…
In this paper, we consider a class of infinitely degenerate partial differential systems to obtain the Nash equilibria in the mean field games. The degeneracy in the diffusion and the Hamiltonian may be different. This feature brings…
We study the regularity and long time behavior of the one-dimensional, local, first-order mean field games system and the planning problem, assuming a Hamiltonian of superlinear growth, with a non-separated, strictly monotone dependence on…
We consider deterministic Mean Field Games (MFG) in all Euclidean space with a cost functional continuous with respect to the distribution of the agents and attaining its minima in a compact set. We first show that the static MFG with such…
In repeated-game applications where both the collusive and non-collusive outcomes can be supported as equilibria, researchers must resolve underlying selection questions if theory will be used to understand counterfactual policies. One…
Dynamic contracts with multiple agents is a classical decentralized decision-making problem with asymmetric information. In this paper, we extend the single-agent dynamic incentive contract model in continuous-time to a multi-agent scheme…
We introduce a class of robust control problems formulated in min-max form, in which the principal agent is viewed as a central planner facing Nature. The agent's cost is a nonlinear function of all its possible realizations, encompassing…
Mean field games equations are examined for conservation laws. The system of mean field games equations consists of two partial differential equations: the Hamilton-Jacobi-Bellman equation for the value function and the forward Kolmogorov…
In this paper, we examine the convergence landscape of multi-agent learning under uncertainty. Specifically, we analyze two stochastic models of regularized learning in continuous games -- one in continuous and one in discrete time with the…
In this paper, we consider a class of mean field games in which the optimal strategy of a representative agent depends on the statistical distribution of the states and controls. We prove some existence results for the forward-backward…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach that yields regularity of the value function and closed form…
This paper is devoted to finite horizon deterministic mean field games in which the state space is a network. The agents control their velocity, and when they occupy a vertex, they can enter into any incident edge. The running and terminal…
This paper studies the correlations of the average winnings of agents and the volatilities of systems based on mix-game model which is an extension of minority game (MG). In mix-game, there are two groups of agents; group1 plays the…
this paper addresses the issue of the relation between the system efficiency and the individual performance with different combinations of agent memory lengths in mix-game model which is an extension of minority game (MG). In mix-game,…
In this paper we consider symmetric games where a large number of players can be in any one of d states. We derive a limiting mean field model and characterize its main properties. This mean field limit is a system of coupled ordinary…
We investigate inverse backward-in-time problems for a class of second-order degenerate Mean-Field Game (MFG) systems. More precisely, given the final datum $(u(\cdot, T),m(\cdot, T))$ of a solution to the one-dimensional mean-field game…
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…
This paper establishes a data-driven solution for infinite horizon linear quadratic Gaussian Mean Field Games with network-coupled heterogeneous agent populations where the dynamics of the agents are unknown. The solution technique relies…
Mean field type models describing the limiting behavior of stochastic differential games as the number of players tends to +$\infty$, have been recently introduced by J-M. Lasry and P-L. Lions. Under suitable assumptions, they lead to a…
The properties of value functions of time inhomogeneous optimal stopping problem and zero-sum game (Dynkin game) are studied through time dependent Dirichlet form. Under the absolute continuity condition on the transition function of the…