相关论文: Mean Field Game Systems with Common Noise and Mark…

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…

We formulate the MFG limit for $N$ interacting agents with a common noise as a single quasi-linear deterministic infinite-dimensional partial differential second order backward equation. We prove that any its (regular enough) solution…

In this paper, we address linear-quadratic-Gaussian (LQG) risk-sensitive mean field games (MFGs) with common noise. In this framework agents are exposed to a common noise and aim to minimize an exponential cost functional that reflects…

In this work, we systematically investigate mean field games and mean field type control problems with multiple populations using a coupled system of forward-backward stochastic differential equations of McKean-Vlasov type stemming from…

This paper studies a large population dynamic game involving nonlinear stochastic dynamical systems with agents of the following mixed types: (i) a major agent, and (ii) a population of $N$ minor agents where $N$ is very large. The major…

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 study mean field games for large non--exchangeable populations with moderate local interactions and common noise. The finite--player system is driven by two complementary interaction mechanisms : a graphon--type structure, which encodes…

We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…

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…

In this paper, we investigate the mean field games with $K$ classes of agents who are weakly coupled via the empirical measure. The underlying dynamics of the representative agents is assumed to be a controlled nonlinear Markov process…

We consider a class of dynamic collective choice models with social interactions, whereby a large number of non-uniform agents have to individually settle on one of multiple discrete alternative choices, with the relevance of their would-be…

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…

We consider a class of mean field games in which the agents interact through both their states and controls, and we focus on situations in which a generic agent tries to adjust her speed (control) to an average speed (the average is made in…

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…

Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical setting, the number of players is large but fixed throughout…

Subject to reasonable conditions, in large population stochastic dynamics games, where the agents are coupled by the system's mean field (i.e. the state distribution of the generic agent) through their nonlinear dynamics and their nonlinear…

The general picture of game theoretic modeling dealt with here is characterized by a set of big players, also referred to as principals or major agents, acting on the background of large pools of small players, the impact of the behavior of…

In this paper, we study a large population game with heterogeneous dynamics and cost functions solving a consensus problem. Moreover, the agents have communication constraints which appear as: (1) an Additive-White Gaussian Noise (AWGN)…

The theory of Mean-Field Games is interested in the behaviour of interacting particle systems in which the individual interaction between particles (players) decreases as the size of the population increases. In recent years, it was…

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…