相关论文: A duality approach to a price formation MFG model

We develop the counterpart of weak KAM theory for potential mean field games. This allows to describe the long time behavior of time-dependent potential mean field game systems. Our main result is the existence of a limit, as time tends to…

This paper presents recent results from Mean Field Game theory underlying the introduction of common noise that imposes to incorporate the distribution of the agents as a state variable. Starting from the usual mean field games equations…

Financial firms and institutional investors are routinely evaluated based on their performance relative to their peers. These relative performance concerns significantly influence risk-taking behavior and market dynamics. While the…

In this letter, we study a class of linear-quadratic mean-field-type difference games with coupled affine inequality constraints. We show that the mean-field-type equilibrium can be characterized by the existence of a multiplier process…

This paper studies a one-dimensional Mean-Field Planning (MFP) system with a non-local, rank-based coupling. Using a potential formulation, we rewrite the system as an associated scalar partial differential equation. We prove an equivalence…

Mean-payoff games (MPGs) are infinite duration two-player zero-sum games played on weighted graphs. Under the hypothesis of perfect information, they admit memoryless optimal strategies for both players and can be solved in…

Mean Field Game (MFG) models implicitly assume "rational expectations", meaning that the heterogeneous agents being modeled correctly know all relevant transition probabilities for the complex system they inhabit. When there is common…

We introduce a mean-field extension of the LIBOR market model (LMM) which preserves the basic features of the original model. Among others, these features are the martingale property, a directly implementable calibration and an economically…

Consistent interactions that can be added to a free, Abelian gauge theory comprising a BF model and a finite set of massless real scalar fields are constructed from the deformation of the solution to the master equation based on specific…

Motivated by numerical challenges in first-order mean field games (MFGs) and the weak noise theory for the Kardar-Parisi-Zhang equation, we consider the problem of vanishing viscosity approximations for MFGs. We provide the first results on…

The pairwise comparison dynamic is a forward ordinary differential equation in a Banach space whose solution is a time-dependent probability measure to maximize utility based on a nonlinear and nonlocal protocol. It contains a wide class of…

Mean-field games (MFG) provide a statistical physics inspired modeling framework for decision making in large-populations of strategic, non-cooperative agents. Mathematically, these systems consist of a forward-backward in time system of…

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,…

In this paper, we investigate the interaction of two populations with a large number of indistinguishable agents. The problem consists in two levels: the interaction between agents of a same population, and the interaction between the two…

We consider a bipartite mean-field model in which both the interaction constant and the external field take different values only depending on the groups particles belong to. We compute the exact value of the thermodynamic limit of the…

The search for more realistic modeling of financial time series reveals several stylized facts of real markets. In this work we focus on the multifractal properties found in price and index signals. Although the usual Minority Game (MG)…

We examine the classical dynamics of multifield inflation models with quadratic potentials. Such models are shown to have inflationary attractors in phase space, consistent with the stretching of phase space trajectories along the volume…

In this paper a new look on the electro-magnetic duality is presented and appropriately exploited. The duality analysis in the nonrelativistic and relativistic formulations is shown to lead to the idea the mathematical model field to be a…

Mean-field game theory relies on approximating games that are intractable to model due to a very large to infinite population of players. While these kinds of games can be solved analytically via the associated system of partial…

Mean-Field Games are games with a continuum of players that incorporate the time-dimension through a control-theoretic approach. Recently, simpler approaches relying on the Best Reply Strategy have been proposed. They assume that the agents…