相关论文: Mean field game equations with underlying jump-dif…

In a mean field game of controls, players seek to minimize a cost that depends on the joint distribution of players' states and controls. We consider an ergodic problem for second-order mean field games of controls with state constraints,…

We discuss a class of explicitly solvable mean field type control problems/mean field games with a clear economic interpretation. More precisely, we consider long term average impulse control problems with underlying general one-dimensional…

We study a mean field optimal control problem with general non-Markovian dynamics, including both common noise and jumps. We show that its minimizers are Nash equilibria of an associated mean field game of controls. These types of games are…

This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure…

We develop an approach for two player constraint zero-sum and nonzero-sum stochastic differential games, which are modeled by Markov regime-switching jump-diffusion processes. We provide the relations between a usual stochastic optimal…

In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs appear in applications such as optimal control problems in…

This note is a companion article to the recent paper L\"ocherbach, Loukianova, Marini (2024). We consider mean field systems of interacting particles. Each particle jumps with a jump rate depending on its position. When jumping, a…

In this paper, we analyze mean-field game modulated by finite states markov chains. We first develop a sufficient stochastic maximum principle for the optimal control of a Markov-modulated stochastic differential equation (SDE) of…

We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…

We study $\mathbb{R}^d$-valued mean field stochastic differential equations with a diffusion coefficient depending on the $L_p$-norm of the process in a discontinuous way. We show that under a strong drift there exists a unique global…

Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…

We develop a limit theory for controlled mean field stochastic partial differential equations in a variational framework. More precisely, we prove existence results for mean field limits and particle approximations, and we establish a…

In this paper, we study a class of degenerate mean field games (MFGs) with state-distribution dependent and unbounded functional diffusion coefficients. With a probabilistic method, we study the well-posedness of the forward-backward…

The mean-field game system is treated as an Euler Lagrange system corresponding to an optimal control problem governed by Fokker-Planck equation.

We study stochastic Mean Field Games on networks with sticky transition conditions. In this setting, the diffusion process governing the agent's dynamics can spend finite time both in the interior of the edges and at the vertices. The…

In this paper, we propose and study an inverse boundary problem for the mean field games (MFGs) governed by the first-order master equation in a bounded domain. We establish the unique identifiability result by showing that the running cost…

An iterative finite difference scheme for mean field games (MFGs) is proposed. The target MFGs are derived from control problems for multidimensional systems with advection terms. For such MFGs, linearization using the Cole-Hopf…

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…

This paper is interested in the description of the density of particles evolving according to some optimal policy of an impulse control problem. We first fix sets on which the particles jump and explain how we can characterize such a…

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…