相关论文: Mean Field Game of Mutual Holding with common nois…

We introduce a mean field model for optimal holding of a representative agent of her peers as a natural expected scaling limit from the corresponding $N-$agent model. The induced mean field dynamics appear naturally in a form which is not…

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 address an instance of uniquely solvable mean-field game with a common noise whose corresponding counterpart without common noise has several equilibria. We study the selection problem for this mean-field game without…

We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…

We introduce the possibility of default in the mean field game of mutual holding of Djete and Touzi [11]. This is modeled by introducing absorption at the origin of the equity process. We provide an explicit solution of this mean field…

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…

We study a mean-field game of optimal stopping and investigate the existence of strong solutions via a connection with the Bank-El Karoui's representation problem. Under certain continuity assumptions, where the common noise is generated by…

We consider a mean field game describing the limit of a stochastic differential game of $N$-players whose state dynamics are subject to idiosyncratic and common noise and that can be absorbed when they hit a prescribed region of the state…

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…

This paper is concerned with the study of mean field games master equations involving an additional variable modelling common noise. We address cases in which the dynamics of this variable can depend on the state of the game, which requires…

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…

The goal of this paper is to provide a selection principle for potential mean field games on a finite state space and, in this respect, to show that equilibria that do not minimize the corresponding mean field control problem should be…

Forcing finite state mean field games by a relevant form of common noise is a subtle issue, which has been addressed only recently. Among others, one possible way is to subject the simplex valued dynamics of an equilibrium by a so-called…

In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of…

This note highlights a special class of mean field games in which the coefficients satisfy a convolution-type structural condition. A mean field game of this type with common noise is related to a certain mean field game without common…

We present a novel framework for mean field games with finite state space and common noise, where the common noise is given through shocks that occur at random times. We first analyze the game for up to $n$ shocks, in which case we are able…

This article introduces a novel mean-field game model for multi-sector economic growth in which a dynamically evolving externality, influenced by the collective actions of agents, plays a central role. Building on classical growth theories…

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…

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…

In this article, we consider mean field games between a dominating player and a group of representative agents, each of which acts similarly and also interacts with each other through a mean field term being substantially influenced by the…