相关论文: Extended Mean Field Games with Singular Controls
We study mean field games with unbounded coefficients. The existence of a solution is proved. We propose a new approach based on Fokker-Planck-Kolmogorov equations, the Ambrosio-Figalli-Trevisan superposition principle, the method of…
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 this paper, we investigate the interaction of two populations with a large number of indistinguishable agents. The problem consists in two levels: the interaction between agents of a same population, and the interaction between the two…
We provide an abstract framework for submodular mean field games and identify verifiable sufficient conditions that allow to prove existence and approximation of strong mean field equilibria in models where data may not be continuous with…
We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach…
In this paper, we study a class of linear-quadratic (LQ) mean-field games in which the individual control process is constrained in a closed convex subset $\Gamma$ of full space $\mathbb{R}^m$. The decentralized strategies and consistency…
We consider mean field games with ergodic cost in the framework of a general discrete time controlled Markov processes. The state space of the processes is given by a general $\sigma$-compact Polish space. Under certain conditions, we show…
An existence result for a class of mean field games of controls is provided. In the considered model, the cost functional to be minimized by each agent involves a price depending at a given time on the controls of all agents and a…
In this paper, we present a new development of inspection games in a mean field setting. In our dynamic version of an inspection game, there is one inspector and a large number N interacting inspectees with a finite state space. By applying…
This paper studies singular mean field control problems and singular mean field stochastic differential games. Both sufficient and necessary conditions for the optimal controls and for the Nash equilibrium are obtained. Under some…
We establish an existence of equilibrium result for a class of non-Markovian mean-field games with unbounded control space in weak formulation. Our result is based on new existence and stability results for quadratic-growth generalized…
We study discrete-time, finite-state mean-field games (MFGs) under model uncertainty, where agents face ambiguity about the state transition probabilities. Each agent maximizes its expected payoff against the worst-case transitions within…
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…
We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…
In this letter, we study a class of linear-quadratic mean-field-type difference games with coupled affine inequality constraints. We show that the mean-field-type equilibrium can be characterized by the existence of a multiplier process…
The objective of this work is to study the existence, uniqueness, and stability of equilibria in mean field games involving a major player and a continuum of minor players over finite intervals of arbitrary length. Following earlier…
In a discrete space and time framework, we study the mean field game limit for a class of symmetric $N$-player games based on the notion of correlated equilibrium. We give a definition of correlated solution that allows to construct…
We study an ergodic mean field game problem with state constraints. In our model the agents are affected by idiosyncratic noise and use a (singular) feedback control to prevent the Brownian motion from exiting the domain. We characterize…
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…
This work considers stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. We develop a new framework to prove convergence…