相关论文: Mean-field risk sensitive control and zero-sum gam…

We introduce a mean field model for optimal holding of a representative agent of her peers as a natural expected scaling limit from the corresponding $N-$agent model. The induced mean field dynamics appear naturally in a form which is not…

The paper is concerned with a variant of the continuous-time finite state Markov game of control and stopping where both players can affect transition rates, while only one player can choose a stopping time. We use the dynamic programming…

A Markov decision problem is called reversible if the stationary controlled Markov chain is reversible under every stationary Markovian strategy. A natural application in which such problems arise is in the control of Metropolis-Hastings…

This paper mainly investigates the optimal control and stabilization problems for linear discrete-time Markov jump systems. The general case for the finite-horizon optimal controller is considered, where the input weighting matrix in the…

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…

In this paper we explore several novel notions of exact controllability for mean-field linear controlled stochastic differential equations (SDEs). A key feature of our study is that the noise coefficient is not required to be of full rank.…

An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.…

Multi-agent reinforcement learning methods have shown remarkable potential in solving complex multi-agent problems but mostly lack theoretical guarantees. Recently, mean field control and mean field games have been established as a…

This work establishes sufficient conditions for existence of saddle points in discrete Markov games. The result reveals the relation between dynamic games and static games using dynamic programming equations. This result enables us to prove…

This paper studies Mean Field Games (MFGs) in which agent dynamics are given by jump processes of controlled intensity, with mean-field interaction via the controls and affecting the jump intensities. We establish the existence of MFG…

Inexact Markov Chain Monte Carlo methods rely on Markov chains that do not exactly preserve the target distribution. Examples include the unadjusted Langevin algorithm (ULA) and unadjusted Hamiltonian Monte Carlo (uHMC). This paper…

We investigate mean-field games (MFG) in which agents can actively control their speed of access to information. Specifically, the agents can dynamically decide to obtain observations with reduced delay by accepting higher observation…

Motivated by several applications, including neuronal models, we consider the McKean-Vlasov limit for mean-field systems of interacting diffusions with simultaneous jumps. We prove propagation of chaos via a coupling technique that involves…

We consider a class of $N$-player games and mean-field games of singular controls with ergodic performance criterion, providing a benchmark case for irreversible investment games featuring mean-field interaction and strategic…

This work is mainly concerned with the so-called limit theory for mean-field games. Adopting the weak formulation paradigm put forward by Carmona and Lacker, we consider a fully non-Markovian setting allowing for drift control and…

In this paper, we introduce a non-linear Snell envelope which at each time represents the maximal value that can be achieved by stopping a BSDE with constrained jumps. We establish the existence of the Snell envelope by employing a…

Mean field games and controls involve guiding the behavior of large populations of interacting agents, where each individual's influence on the group is negligible but collectively impacts overall dynamics. Hybrid systems integrate…

This article aims at quantifying the long time behavior of solutions of mean field PDE systems arising in the theory of Mean Field Games and McKean-Vlasov control. Our main contribution is to show well-posedness of the ergodic problem and…

The goal of this paper is to study the long time behavior of solutions of the first-order mean field game (MFG) systems with a control on the acceleration. The main issue for this is the lack of small time controllability of the problem,…

In this work we consider mean field type control problems with multiple species that have different dynamics. We formulate the discretized problem using a new type of entropy-regularized multimarginal optimal transport problems where the…