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

This article investigates the causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel generalisations of Granger causality (based on ridge regression and…

We present a simulation-based approach for solution of mean field games (MFGs), using the framework of empirical game-theoretical analysis (EGTA). Our primary method employs a version of the double oracle, iteratively adding strategies…

It has been recently shown that the double exchange Hamiltonian, with weak antiferromagnetic interactions, has a richer variety of first and second order transitions than previously anticipated, and that such transitions are consistent with…

In this paper the whole family of fractional Brownian motions is constructed as a single Gaussian field indexed by time and the Hurst index simultaneously. The field has a simple covariance structure and it is related to two generalizations…

In this paper, we study the long-time behavior of mean field game (MFG) systems influenced by a common noise. While classical results establish the convergence of deterministic MFG towards stationary solutions under suitable monotonicity…

This paper considers mean field games in a multi-agent Markov decision process (MDP) framework. Each player has a continuum state and binary action. By active control, a player can bring its state to a resetting point. All players are…

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model…

We find necessary and sufficient conditions for gauge invariance of the action of Double Field Theory (DFT) as well as closure of the algebra of gauge symmetries. The so-called weak and strong constraints are sufficient to satisfy them, but…

Within the superfield approach, we consider the duality between the supersymmetric Maxwell-Chern-Simons and self-dual theories in three spacetime dimensions. Using a gauge embedding method, we construct the dual theory to the self-dual…

The goal of the paper is to introduce a set of problems which we call mean field games of timing. We motivate the formulation by a dynamic model of bank run in a continuous-time setting. We briefly review the economic and game theoretic…

In this paper we go deep into the connection between duality and fields redefinition for general bilinear models involving the 1-form gauge field $A$. A duality operator is fixed based on "gauge embedding" procedure. Dual models are shown…

In three dimensions, an abelian gauge field is related by duality to a free, periodic scalar field. Though usually considered on Euclidean space, this duality can be extended to a general three-manifold M, in which case topological features…

This work deals with a numerical method for solving a mean-field type control problem with congestion. It is the continuation of an article by the same authors, in which suitably defined weak solutions of the system of partial differential…

The discussion focuses on metric covariance, a new association measure between paired random objects in a metric space, developed by Dubey and M\"uller, and on its relationship with other similar concepts which have previously appeared in…

It is well-known in the modified gravity scene that the calculation of junction conditions in certain complicated theories leads to ambiguities and conflicts between the various formulations. This paper introduces a general framework to…

In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studies, we do not require contingent claims to be upper…

Mean field games (MFGs) model the limit of large populations of strategically interacting agents, yet both forward and inverse problems remain challenging. For the forward problem, a difficulty is to design numerical methods with global…

We use the Markov chain approximation method to construct approximations for the solution of the mean field game (MFG) with reflecting barriers studied in Bayraktar, Budhiraja, and Cohen (2017). The MFG is formulated in terms of a…

In the context of Risk Neutral Pricing theory, we consider the classic problem of calibrating a martingale over $\mathbb{R}^n$ to a finite number of marginals thereof, or more practically, to prices of an arbitrary finite set of (joint)…

We treat Mechanics as a 1-dimensional general-relativistic gauge field theory, Mechanical Field Theory (MFT), introducing what we call the Mechanical Field Space (MFS) and exploiting its bundle geometry. The diffeomorphism covariance of MFT…