相关论文: Mean Field Exponential Utility Game: A Probabilist…

In a probabilistic mean field game driven by a L\'evy process an individual player aims to minimize a long run discounted/ergodic cost by controlling the process through a pair of increasing and decreasing c\`adl\`ag processes, while he is…

We study stationary mean field games with singular controls in which the representative player interacts with a long-time weighted average of the population through a discounted and an ergodic performance criterion. This class of games…

In a game theoretic framework, we study energy markets with a continuum of homogenous producers who produce energy from an exhaustible resource such as oil. Each producer simultaneously optimizes production rate that drives her revenues, as…

This paper studies the n-player game and the mean field game under the CRRA relative performance on terminal wealth, in which the interaction occurs by peer competition. In the model with n agents, the price dynamics of underlying risky…

We consider mean field games with discrete state spaces (called discrete mean field games in the following) and we analyze these games in continuous and discrete time, over finite as well as infinite time horizons. We prove the existence of…

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…

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…

The theory of mean field games is a tool to understand noncooperative dynamic stochastic games with a large number of players. Much of the theory has evolved under conditions ensuring uniqueness of the mean field game Nash equilibrium.…

We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal and a private signal. The broker, on the other hand,…

The standard solution concept for stochastic games is Markov perfect equilibrium (MPE); however, its computation becomes intractable as the number of players increases. Instead, we consider mean field equilibrium (MFE) that has been…

In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive discounted-cost optimality criterion. Risk-sensitivity is introduced for each agent (player) via an exponential utility function. In…

We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order…

Mean-field games with absorption is a class of games, that have been introduced in Campi and Fischer (2018) and that can be viewed as natural limits of symmetric stochastic differential games with a large number of players who, interacting…

We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach that yields regularity of the value function and closed form…

We propose a mean field game (MFG) framework to model the evolution of renewable energy production in competitive electricity markets. Producers interact through the spot price while optimising their profits under production, installation,…

The goal of the paper is to introduce a formulation of the mean field game with major and minor players as a fixed point on a space of controls. This approach emphasizes naturally the role played by McKean-Vlasov dynamics in some of the…

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…

In this paper, we consider a mean field model of social behavior where there are an infinite number of players, each of whom observes a type privately that represents her preference, and publicly observes a mean field state of types and…

In this paper we consider symmetric games where a large number of players can be in any one of d states. We derive a limiting mean field model and characterize its main properties. This mean field limit is a system of coupled ordinary…

We introduce Mean Field Markov games with $N$ players, in which each individual in a large population interacts with other randomly selected players. The states and actions of each player in an interaction together determine the…