相关论文: Mean-Field Games with common Poissonian noise: a M…

In this paper we explore the impact of quantiles on optimal strategies under state dynamics driven by both individual noise, common noise and Poisson jumps. We first establish an optimality system satisfied the quantile process under jump…

This paper studies the mean field game (MFG) and N-player game on relative performance portfolio management with two heterogeneous populations. In addition to the Brownian idiosyncratic and common noise, the first population invests in…

We present a simpler proof of the existence of equilibria for a class of mean field games with common noise, where players interact through the conditional law given the current value of the common noise rather than its entire path. By…

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)…

In this paper, we consider Mean Field Games in the presence of common noise relaxing the usual independence assumption of individual random noise. We assume a simple linear model with terminal cost satisfying a convexity and a weak…

In this work, we systematically investigate mean field games and mean field type control problems with multiple populations using a coupled system of forward-backward stochastic differential equations of McKean-Vlasov type stemming from…

The large-population system consists of considerable small agents whose individual behavior and mass effect are interrelated via their state-average. The mean-field game provides an efficient way to get the decentralized strategies of…

We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical…

We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become…

The purpose of this paper is to provide a complete probabilistic analysis of a large class of stochastic differential games for which the interaction between the players is of mean-field type. We implement the Mean-Field Games strategy…

In this paper, we consider a mean field game (MFG) model perturbed by small common noise. Our goal is to give an approximation of the Nash equilibrium strategy of this game using a solution from the original no common noise MFG whose…

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…

The mean field limit of large-population symmetric stochastic differential games is derived in a general setting, with and without common noise, on a finite time horizon. Minimal assumptions are imposed on equilibrium strategies, which may…

We consider Mean Field Games without idiosyncratic but with Brownian type common noise. We introduce a notion of solutions of the associated backward-forward system of stochastic partial differential equations. We show that the solution…

In this paper, we consider the mean field game with a common noise and allow the state coefficients to vary with the conditional distribution in a nonlinear way. We assume that the cost function satisfies a convexity and a weak monotonicity…

We study a class of deterministic mean field games on finite and infinite time horizons arising in models of optimal exploitation of exhaustible resources. The main characteristic of our game is an absorption constraint on the players'…

The objective of this work is to study the existence, uniqueness, and stability of equilibria in mean field games involving a major player and a continuum of minor players over finite intervals of arbitrary length. Following earlier…

In this paper, we consider a mean field game model inspired by crowd motion in which several interacting populations evolving in $\mathbb R^d$ aim at reaching given target sets in minimal time. The movement of each agent is described by a…

The theory of Mean Field Game of Controls considers a class of mean field games where the interaction is through the joint distribution of the state and control. It is well known that, for standard mean field games, certain monotonicity…

The mean field games (MFG) paradigm was introduced to provide tractable approximations of games involving very large populations. The theory typically rests on two key assumptions: homogeneity, meaning that all players share the same…