相关论文: Large Banking Systems with Default and Recovery: A…

We formulate a class of mean field games on a finite state space with variational principles resembling those in continuous-state mean field games. We construct a controlled continuity equation featuring a nonlinear activation function on…

We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…

The random batch method (RBM) proposed in [Jin et al., J. Comput. Phys., 400(2020), 108877] for large interacting particle systems is an efficient with linear complexity in particle numbers and highly scalable algorithm for $N$-particle…

This paper studies the connection between a class of mean-field games and a social welfare optimization problem. We consider a mean-field game in function spaces with a large population of agents, and each agent seeks to minimize an…

In this paper we study a novel Fokker-Planck-type model that is designed to mimic manufacturing processes through the dynamics characterizing a large set of agents. In particular, we describe a many-agent system interacting with a target…

Mean field games are studied by means of the weak formulation of stochastic optimal control. This approach allows the mean field interactions to enter through both state and control processes and take a form which is general enough to…

This paper develops a mean field game framework for dynamic two-sided matching markets, extending existing matching theory by integrating micro-macro dynamics in two-sided environments. Unlike traditional matching models focusing on static…

We consider the problem faced by a central bank which bails out distressed financial institutions that pose systemic risk to the banking sector. In a structural default model with mutual obligations, the central agent seeks to inject a…

This paper analyzes and explicitly solves a class of long-term average impulse control problems with a specific mean-field interaction. The underlying process is a general one-dimensional diffusion with appropriate boundary behavior. The…

We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank…

We discuss and compare two methods of investigations for the asymptotic regime of stochastic differential games with a finite number of players as the number of players tends to the infinity. These two methods differ in the order in which…

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…

Mean field games is a recent area of study introduced by Lions and Lasry in a series of seminal papers in 2006. Mean field games model situations of competition between large number of rational agents that play non-cooperative dynamic games…

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…

We analyze linear McKean-Vlasov forward-backward SDEs arising in leader-follower games with mean-field type control and terminal state constraints on the state process. We establish an existence and uniqueness of solutions result for such…

Mean field game facilitates analyzing multi-armed bandit (MAB) for a large number of agents by approximating their interactions with an average effect. Existing mean field models for multi-agent MAB mostly assume a binary reward function,…

In this paper, we investigate the robustness of stationary mean-field equilibria in the presence of model uncertainties, specifically focusing on infinite-horizon discounted cost functions. To achieve this, we initially establish…

Mean field games (MFG) and mean field control problems (MFC) are frameworks to study Nash equilibria or social optima in games with a continuum of agents. These problems can be used to approximate competitive or cooperative games with a…

The Macroscopic Fluctuating Theory is presented from a practical and self consistent point of view. We take as starting point the assumption that a system at a mesoscopic scale is described by a field $\phi(x,t)$ that evolves by a Langevin…

We present a new class of models for assessing the cell dynamics characterising muscular dystrophies. The proposed approach comprises a system of integro-differential equations for the statistical distributions, over a large patient cohort,…