相关论文: Mean field game equations with underlying jump-dif…
We present a Markov approximation for jump-diffusions whose jump part consists in a Hawkes process with intensity driven by a general (possibly non-monotone) kernel. Under minimal integrability conditions, the kernel can be approximated by…
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…
We analyze a system of partial differential equations that model a potential mean field game of controls, briefly MFGC. Such a game describes the interaction of infinitely many negligible players competing to optimize a personal value…
The paper considers a forward-backward system of parabolic PDEs arising in a Mean Field Game (MFG) model where every agent controls the drift of a trajectory subject to Brownian diffusion, trying to escape a given bounded domain $\Omega$ in…
We introduce a mixed {\em generalized} Dynkin game/stochastic control with ${\cal E}^f$-expectation in a Markovian framework. We study both the case when the terminal reward function is supposed to be Borelian only and when it is…
We consider the dynamics of a 1D system evolving according to a deterministic drift and randomly forced by two types of jumps processes, one representing an external, uncontrolled forcing and the other one a control that instantaneously…
The objective of this paper is to give conditions ensuring that the backward partial integro differential equation associated with a multidimensional jump-diffusion with a pure jump component has a unique classical solution; that is the…
We investigate inverse backward-in-time problems for a class of second-order degenerate Mean-Field Game (MFG) systems. More precisely, given the final datum $(u(\cdot, T),m(\cdot, T))$ of a solution to the one-dimensional mean-field game…
We propose a policy iteration method to solve an inverse problem for a mean-field game (MFG) model, specifically to reconstruct the obstacle function in the game from the partial observation data of value functions, which represent the…
We study mean field stochastic differential equations with a diffusion coefficient that depends on the distribution function of the unknown process in a discontinuous manner, which is a type of distribution dependent regime switching. To…
This paper is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations…
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…
There are few results on mean field game (MFG) systems where the PDEs are either fully nonlinear or have degenerate diffusions. This paper introduces a problem that combines both difficulties. We prove existence and uniqueness for a…
This paper is concerned with the partial information optimal control problem of wa controlled forward-backward stochastic differential equation of jump diffusion with correlated noises between the system and the observation. For this type…
This paper concerns a Mean Field Game (MFG) system related to a Nash type equilibrium for dynamical games associated to large populations. One shows that the MFG system may be viewed as the Euler-Lagrange system for an optimal control…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion factor process. The…
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…
This work tackles the problem of energy-efficient distributed power control in wireless networks with a large number of transmitters. The problem is modeled by a dynamic game. Each transmitter-receiver communication is characterized by a…
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,…