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

We study the existence of strong solutions for mean-field forward-backward stochastic differential equations (FBSDEs) with measurable coefficients and their implication on the Nash equilibrium of a multi-population mean-field game. More…

In this paper we consider a mean field optimal control problem with an aggregation-diffusion constraint, where agents interact through a potential, in the presence of a Gaussian noise term. Our analysis focuses on a PDE system coupling a…

Mean-field games (MFGs) study the Nash equilibrium of systems with a continuum of interacting agents, which can be formulated as the fixed-point of optimal control problems. They provide a unified framework for a variety of applications,…

We prove the global-in-time well-posedness for a broad class of mean field game problems, which is beyond the special linear-quadratic setting, as long as the mean field sensitivity is not too large. Through the stochastic maximum…

This paper studies the convergence of mean field games with finite state space to mean field games with a continuous state space. We examine a space discretization of a diffusive dynamics, which is reminiscent of the Markov chain…

Motivated by the trade-off between exploitation and exploration in reinforcement learning, we study a continuous-time entropy-regularized mean variance portfolio selection problem in the presence of jumps. We propose an exploratory SDE for…

This paper focuses on multi-agent stochastic differential games for jump-diffusion systems. On one hand, we study the multi-agent game for optimal investment in a jump-diffusion market. We derive constant Nash equilibria and provide…

This paper studies regularity property of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly `infinite-activity'…

We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…

This paper is concerned with the partial information optimal control problem of mean-field type under partial observation, where the system is given by a controlled mean-field forward-backward stochastic differential equation with…

We study convergence rates of the generalized conditional gradient (GCG) method applied to fully discretized Mean Field Games (MFG) systems. While explicit convergence rates of the GCG method have been established at the continuous PDE…

Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a general mean-field…

We present an analytic solution of a differential-difference equation that appears when one solves an optimal stopping time problem with state process following a jump-diffusion process. This equation occurs in the context of real options…

In this paper, we consider a discrete-time Stackelberg mean field game with a leader and an infinite number of followers. The leader and the followers each observe types privately that evolve as conditionally independent controlled Markov…

We consider a general class of nonzero-sum $N$-player stochastic games with impulse controls, where players control the underlying dynamics with discrete interventions. We adopt a verification approach and provide sufficient conditions for…

The first passage time (FPT) problem is ubiquitous in many applications. In finance, we often have to deal with stochastic processes with jump-diffusion, so that the FTP problem is reducible to a stochastic differential equation with…

In this paper, we study the $extended$ mean field control problem, which is a class of McKean-Vlasov stochastic control problem where the state dynamics and the reward functions depend upon the joint (conditional) distribution of the…

In this paper we obtain results for the existence and uniqueness of solutions to coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with jumps defined on a random environment. This environment corresponds to a…

We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…

We prove existence of solutions for a class of systems of subelliptic PDEs arising from Mean Field Game systems with H\"ormander diffusion. These results are motivated by the feedback synthesis Mean Field Game solutions and the Nash…