相关论文: The variational structure and time-periodic soluti…
We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical…
Many real-world problems modeled by stochastic games have huge state and/or action spaces, leading to the well-known curse of dimensionality. The complexity of the analysis of large-scale systems is dramatically reduced by exploiting mean…
Mean field games (MFGs) offer a powerful framework for modeling large-scale multi-agent systems. This paper addresses MFGs formulated in continuous time with discrete state spaces, where agents' dynamics are governed by continuous-time…
We show that the long time average of solutions of first order mean field game systems in finite horizon is governed by an ergodic system of mean field game type. The well-posedness of this later system and the uniqueness of the ergodic…
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…
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…
A principled method to obtain approximate solutions of general constrained integer optimization problems is introduced. The approach is based on the calculation of a mean field probability distribution for the decision variables which is…
The paper is concerned with the feedback approach to the deterministic mean field type differential games. Previously, it was shown that suboptimal strategies in the mean field type differential game can constructed based on functions of…
We present a simulation-based approach for solution of mean field games (MFGs), using the framework of empirical game-theoretical analysis (EGTA). Our primary method employs a version of the double oracle, iteratively adding strategies…
In this paper, we study a class of degenerate mean field games (MFGs) with state-distribution dependent and unbounded functional diffusion coefficients. With a probabilistic method, we study the well-posedness of the forward-backward…
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 consider a general class of nonzero-sum $N$-player stochastic games with impulse controls, where players control the underlying dynamics with discrete interventions. We adopt a verification approach and provide sufficient conditions for…
We propose a new approach to mean field games with major and minor players. Our formulation involves a two player game where the optimization of the representative minor player is standard while the major player faces an optimization over…
There are few results on mean field game (MFG) systems where the PDEs are either fully nonlinear or have degenerate diffusions. This paper introduces a problem that combines both difficulties. We prove existence and uniqueness for a…
The theory of first-order mean field type differential games examines the systems of infinitely many identical agents interacting via some external media under assumption that each agent is controlled by two players. We study the…
A general class of mean field games are considered where the governing dynamics are controlled diffusions in $\mathbb{R}^d$. The optimization criterion is the long time average of a running cost function. Under various sets of hypotheses,…
We establish a probabilistic framework for analysing extended mean-field games with multi-dimensional singular controls and state-dependent jump dynamics and costs. Two key challenges arise when analysing such games: the state dynamics may…
We are concerned with the mathematical study of the Mean Field Games system (MFGS). In the conventional setup, the MFGS is a system of two coupled nonlinear parabolic PDEs of the second order in a backward-forward manner, namely one…
Mean field games (MFGs) model equilibria in games with a continuum of weakly interacting players as limiting systems of symmetric $n$-player games. We consider the finite-state, infinite-horizon problem with ergodic cost. Assuming Markovian…
This article introduces a novel mean-field game model for multi-sector economic growth in which a dynamically evolving externality, influenced by the collective actions of agents, plays a central role. Building on classical growth theories…