相关论文: Translation invariant mean field games with common…

This paper is concerned with the study of mean field games master equations involving an additional variable modelling common noise. We address cases in which the dynamics of this variable can depend on the state of the game, which requires…

We introduce a mean field game for a family of filtering problems related to the classic sequential testing of the drift of a Brownian motion. To the best of our knowledge this work presents the first treatment of mean field filtering games…

We consider Mean Field Games without idiosyncratic but with Brownian type common noise. We introduce a notion of solutions of the associated backward-forward system of stochastic partial differential equations. We show that the solution…

We present a simpler proof of the existence of equilibria for a class of mean field games with common noise, where players interact through the conditional law given the current value of the common noise rather than its entire path. By…

We study the forward-backward system of stochastic partial differential equations describing a mean field game for a large population of small players subject to both idiosyncratic and common noise. The unique feature of the problem is that…

We consider a mean field game with common noise in which the diffusion coefficients may be controlled. We prove existence of a weak relaxed solution under some continuity conditions on the coefficients. We then show that, when there is no…

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)…

We consider the mean field game of cross--holding introduced in \citeauthor*{DjeteTouzi} \cite{DjeteTouzi} in the context where the equity value dynamics are affected by a common noise. In contrast with \cite{DjeteTouzi}, the problem…

The goal of this paper is to demonstrate that common noise may serve as an exploration noise for learning the solution of a mean field game. This concept is here exemplified through a toy linear-quadratic model, for which a suitable form of…

We introduce a new path-by-path approach to mean field games with common noise that recovers duality at the pathwise level. We verify this perspective by explicitly solving some difficult examples with linear-quadratic data, including…

We present the notion of monotone solution of mean field games master equations in the case of a continuous state space. We establish the existence, uniqueness and stability of such solutions under standard assumptions. This notion allows…

A theory of existence and uniqueness is developed for general stochastic differential mean field games with common noise. The concepts of strong and weak solutions are introduced in analogy with the theory of stochastic differential…

In this paper, we address an instance of uniquely solvable mean-field game with a common noise whose corresponding counterpart without common noise has several equilibria. We study the selection problem for this mean-field game without…

In this paper we unveil novel monotonicity conditions applicable for Mean Field Games through the exploration of finite dimensional $canonical\ transformations$. Our findings contribute to establishing new global well-posedness results for…

This paper studies the convergence problem for mean field games with common noise. We define a suitable notion of weak mean field equilibria, which we prove captures all subsequential limit points, as $n\to\infty$, of closed-loop…

In this note we prove the uniqueness of solutions to a class of Mean Field Games systems subject to possibly degenerate individual noise. Our results hold true for arbitrary long time horizons and for general non-separable Hamiltonians that…

We present examples of equations arising in the theory of mean field games that can be reduced to a system in smaller dimensions. Such examples come up in certain applications, and they can be used as modeling tools to numerically…

In this paper, we consider a class of linear quadratic extended mean field games (MFGs) with common noises where the state coefficients and the cost functional vary with the mean field term in a nonlinear way. Based on stochastic maximum…

We consider a mean field game describing the limit of a stochastic differential game of $N$-players whose state dynamics are subject to idiosyncratic and common noise and that can be absorbed when they hit a prescribed region of the state…

Mean-field games arise in various fields including economics, engineering, and machine learning. They study strategic decision making in large populations where the individuals interact via certain mean-field quantities. The ground metrics…