相关论文: Optimal Investment in a Large Population of Compet…

We investigate stochastic utility maximization games under relative performance concerns in both finite-agent and infinite-agent (graphon) settings. An incomplete market model is considered where agents with power (CRRA) utility functions…

Graphon games have been introduced to study games with many players who interact through a weighted graph of interaction. By passing to the limit, a game with a continuum of players is obtained, in which the interactions are through a…

We study finite-player dynamic stochastic games with heterogeneous interactions and non-Markovian linear-quadratic objective functionals. We derive the Nash equilibrium explicitly by converting the first-order conditions into a coupled…

We consider a class of targeted intervention problems in dynamic network and graphon games. First, we study a general dynamic network game in which players interact over a graph and maximize their heterogeneous, concave goal functionals,…

We study a class of nonzero-sum stochastic differential games between two teams with agents in each team interacting through graphon aggregates. On the one hand, in each large population group, agents act together to optimize a common…

We consider static finite-player network games and their continuum analogs, graphon games. Existence and uniqueness results are provided, as well as convergence of the finite-player network game optimal strategy profiles to their analogs…

Graphon games are a class of games with a continuum of agents, introduced to approximate the strategic interactions in large network games. The first result of this study is an equilibrium existence theorem in graphon games, under the same…

This paper investigates a class of linear-quadratic-Gaussian risk-sensitive graphon mean-field games, involving an asymptotically infinite population of heterogeneous agents distributed across an asymptotically infinite network, where each…

We consider a game for a continuum of non-identical players evolving on a finite state space. Their heterogeneous interactions are represented by a graphon, which can be viewed as the limit of a dense random graph. The player's transition…

In this paper, we study finite-agent linear-quadratic games on graphs. Specifically, we propose a comprehensive framework that extends the existing literature by incorporating heterogeneous and interpretable player interactions. Compared to…

We consider $n$ risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state…

We study continuous stochastic games with heterogeneous mean field interactions and jumps on large networks and explore their limit counterparts. We introduce the graphon game model based on a controlled graphon mean field stochastic…

The aim of this paper is to formulate and study a stochastic model for the management of environmental assets in a geographical context where in each place the local authorities take their policy decisions maximizing their own welfare,…

This paper studies an optimal investment-consumption problem for competitive agents with exponential or power utilities and a common finite time horizon. Each agent regards the average of habit formation and wealth from all peers as…

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…

In this paper, we study the problem of multiple stochastic agents interacting in a dynamic game scenario with continuous state and action spaces. We define a new notion of stochastic Nash equilibrium for boundedly rational agents, which we…

We introduce and study a class of infinite-horizon non-zero-sum non-cooperative stochastic games with infinitely many interacting agents using ideas of statistical mechanics. First we show, in the general case of asymmetric interactions,…

This paper studies a competitive optimal portfolio selection problem in a model where the interest rate, the appreciation rate and volatility rate of the risky asset are all stochastic processes, thus forming a non-Markovian financial…

We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…

In this paper, we consider discrete-time dynamic games of the mean-field type with a finite number $N$ of agents subject to an infinite-horizon discounted-cost optimality criterion. The state space of each agent is a locally compact Polish…