相关论文: Mean-Field Leader-Follower Games with Terminal Sta…

We discuss the system of Fokker-Planck and Hamilton-Jacobi-Bellman equations arising from the finite horizon control of McKean-Vlasov dynamics. We give examples of existence and uniqueness results. Finally, we propose some simple models for…

Mean Field Games with state constraints are differential games with infinitely many agents, each agent facing a constraint on his state. The aim of this paper is to provide a meaning of the PDE system associated with these games, the…

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…

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…

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 a linear quadratic mean field leader-follower team problem, where the model involves one leader and a large number of weakly-coupled interactive followers. The leader and the followers cooperate to optimize the…

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 propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…

This paper studies the mean field game (MFG) problem arising from a large population competition in fund management, featuring a new type of relative performance via the benchmark tracking. In the $n$-player model, each agent aims to…

A mean-field selective optimal control problem of multipopulation dynamics via transient leadership is considered. The agents in the system are described by their spatial position and their probability of belonging to a certain population.…

We study a Stackelberg variant of the classical discrete-time Dynkin game, in which Player 1 (the leader) commits to a stopping strategy first and Player 2 (the follower) responds optimally. This leader-follower structure induces an optimal…

We consider a mean-field control problem with c\`adl\`ag semimartingale strategies arising in portfolio liquidation models with transient market impact and self-exciting order flow. We show that the value function depends on the state…

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…

We propose a two-layer, semi-decentralized algorithm to compute a local solution to the Stackelberg equilibrium problem in aggregative games with coupling constraints. Specifically, we focus on a single-leader, multiple-follower problem,…

Mean field games have traditionally been defined~[1,2] as a model of large scale interaction of players where each player has a private type that is independent across the players. In this paper, we introduce a new model of mean field teams…

We study the existence of strong solutions for mean-field forward-backward stochastic differential equations (FBSDEs) with measurable coefficients and their implication on the Nash equilibrium of a multi-population mean-field game. More…

This paper is devoted to a class of finite horizon deterministic mean field games with Grushin type dynamics, state constraints and nonlocal coupling. First, we consider the optimal control problem that each agent aims to solve when the…

We develop a limit theory for controlled mean field stochastic partial differential equations in a variational framework. More precisely, we prove existence results for mean field limits and particle approximations, and we establish a…

This paper studies open-loop and feedback solutions to leader-follower mean field linear-quadratic-Gaussian games with multiplicative noise by the direct approach. The leader-follower game involves a leader and many followers, where the…

We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…