相关论文: The Potential Method For Price-Formation Models

We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…

We study the price-setting problem of market makers under risk neutrality and perfect competition in continuous time. Thereby we follow the classic Glosten-Milgrom model that defines bid and ask prices as expectations of a true value of the…

We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…

This thesis is going to give a gentle introduction to Mean Field Games. It aims to produce a coherent text beginning for simple notions of deterministic control theory progressively to current Mean Field Games theory. The framework…

In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…

This paper studies a mean field game inspired by crowd motion in which agents evolve in a compact domain and want to reach its boundary minimizing the sum of their travel time and a given boundary cost. Interactions between agents occur…

The goal of this paper is to study a Mean Field Game (MFG) system stemming from the harvesting of resources. Modelling the latter through a reaction-diffusion equation and the harvesters as competing rational agents, we are led to a…

We formulate the MFG limit for $N$ interacting agents with a common noise as a single quasi-linear deterministic infinite-dimensional partial differential second order backward equation. We prove that any its (regular enough) solution…

Mean Field Games (MFG) have been introduced to tackle games with a large number of competing players. Considering the limit when the number of players is infinite, Nash equilibria are studied by considering the interaction of a typical…

In settings where full incentive-compatibility is not available, such as core-constraint combinatorial auctions and budget-balanced combinatorial exchanges, we may wish to design mechanisms that are as incentive-compatible as possible. This…

We investigate a mean field game model for the production of exhaustible resources. In this model, firms produce comparable goods, strategically set their production rate in order to maximise profit, and leave the market as soon as they…

We demonstrate the versatility of mean-field games (MFGs) as a mathematical framework for explaining, enhancing, and designing generative models. In generative flows, a Lagrangian formulation is used where each particle (generated sample)…

This paper presents a Mean Field Game (MFG) model for maritime traffic flow, treating the navigation of ships between seaports as a large-scale stochastic control problem. The MFG framework enables the modeling of agents at a microscopic…

Mean-field games have been studied under the assumption of very large number of players. For such large systems, the basic idea consists to approximate large games by a stylized game model with a continuum of players. The approach has been…

Non-cooperative and cooperative games with a very large number of players have many applications but remain generally intractable when the number of players increases. Introduced by Lasry and Lions, and Huang, Caines and Malham\'e, Mean…

In [14], Gueant, Lasry and Lions considered the model problem ``What time does meeting start?'' as a prototype for a general class of optimization problems with a continuum of players, called Mean Field Games problems. In this paper we…

We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using…

Competitive games involving thousands or even millions of players are prevalent in real-world contexts, such as transportation, communications, and computer networks. However, learning in these large-scale multi-agent environments presents…

While the general theory for the terminal-initial value problem in mean-field games is widely used in many models of applied mathematics, the modeling potential of the corresponding forward-forward version is still under-considered. In this…

We consider a class of mean field games in which the agents interact through both their states and controls, and we focus on situations in which a generic agent tries to adjust her speed (control) to an average speed (the average is made in…