Related papers: Robust mean field control: stochastic maximum prin…
Principal agent games are a growing area of research which focuses on the optimal behaviour of a principal and an agent, with the former contracting work from the latter, in return for providing a monetary award. While this field…
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 study a general class of Principal-Agent problems in continuous time under hidden action. By formulating the model as a coupled stochastic optimal control problem we are able to find a set of necessary conditions characterizing optimal…
We consider N-player and mean field games in continuous time over a finite horizon, where the position of each agent belongs to {-1,1}. If there is uniqueness of mean field game solutions, e.g. under monotonicity assumptions, then the…
This paper investigates the social optimality of linear quadratic mean field control systems with unmodeled dynamics. The objective of agents is to optimize the social cost, which is the sum of costs of all agents. By variational analysis…
We consider a class of linear-quadratic-Gaussian mean-field games with a major agent and considerable heterogeneous minor agents in the presence of mean-field interactions. The individual admissible controls are constrained in closed convex…
We develop a variational approach to address risk-sensitive optimal control problems with an exponential-of-integral cost functional in a general linear-quadratic-Gaussian (LQG) single-agent setup, offering new insights into such problems.…
This paper studies mean field games for multi-agent systems with control-dependent multiplicative noises. For the general systems with nonuniform agents, we obtain a set of decentralized strategies by solving an auxiliary limiting optimal…
In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an It\^o diffusion via one-sided singular stochastic control, aiming to…
In this paper, we investigate the interaction of two populations with a large number of indistinguishable agents. The problem consists in two levels: the interaction between agents of a same population, and the interaction between the two…
We consider a multi-agent system in which a decentralized team of agents controls a stochastic system in the presence of an adversary. Instead of committing to a fixed information sharing protocol, the agents can strategically decide at…
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 introduce a mean field game with rank-based reward: competing agents optimize their effort to achieve a goal, are ranked according to their completion time, and paid a reward based on their relative rank. First, we propose a tractable…
We study a class of deterministic mean field games and related optimal control problems, with a finite time horizon and in which the state space is a network. An agent controls her velocity, and, when she occupies a vertex, she can either…
In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…
This paper considers a class of mean field linear-quadratic-Gaussian (LQG) games with model uncertainty. The drift term in the dynamics of the agents contains a common unknown function. We take a robust optimization approach where a…
The paper is concerned with the study of a control system consisting of one major agent and many identical minor agents in the limit case when the number of agents tends to infinity. To study the limiting system we use the mean field…
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…
Recent advances in mean-field game literature enable the reduction of large-scale multi-agent problems to tractable interactions between a representative agent and a population distribution. However, existing approaches typically assume a…
We consider a general formulation of the random horizon Principal-Agent problem with a continuous payment and a lump-sum payment at termination. In the European version of the problem, the random horizon is chosen solely by the principal…