相关论文: Linear Quadratic Mean Field Stackelberg Games: Ope…

In the framework of continuous time symmetric stochastic differential games in open loop strategies, we introduce a generalization of mean field game solution, called coarse correlated solution. This can be seen as the analogue of a coarse…

The multilevel reverse Stackelberg game is considered. In this game, the leader controls the outcome by announcing a strategy as a function of decision variables of the followers to his/her own decision space. Corresponding to the leader's…

For the characterization of Feedback Nash Equilibria (FNE) in linear quadratic games, this paper provides a detailed analysis of the discrete-time discounted coupled best-response equations for the scalar two-player setting, together with a…

In this paper, we consider a partial observed two-person zero-sum stochastic differential game problem where the system is governed by a stochastic differential equation of mean-field type. Under standard assumptions on the coefficients,…

We study a two-player dynamic Stackelberg game where the follower's intention is unknown to the leader. Classical formulations of the Stackelberg equilibrium (SE) assume that the follower's best response (BR) function is known to the…

Mean-field games arise in various fields including economics, engineering, and machine learning. They study strategic decision making in large populations where the individuals interact via certain mean-field quantities. The ground metrics…

We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal and a private signal. The broker, on the other hand,…

This paper studies approximate solutions to large-scale linear quadratic stochastic games with homogeneous nodal dynamics parameters and heterogeneous network couplings within the graphon mean field game framework in [2]-[4]. A graphon…

Stackelberg games have been widely used to model interactive decision-making problems in a variety of domains such as energy systems, transportation, cybersecurity, and human-robot interaction. However, existing algorithms for solving…

This paper studies the dynamic pricing mechanism for data products in demand-driven markets through a game-theoretic framework. We develop a three-tier Stackelberg game model to capture the hierarchical strategic interactions among key…

For a class of finite horizon first order mean field games and associated N-player games, we give a simple proof of convergence of symmetric N-player Nash equilibria in distributed open-loop strategies to solutions of the mean field game in…

This paper studies the competition among multiple fund managers with relative performance over the excess logarithmic return. Fund managers compete with each other and have expected utility or mean-variance criteria for excess logarithmic…

In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilibrium solution, which consists of two parts: a…

Here, we prove the existence of solutions to first-order mean-field games (MFGs) arising in optimal switching. First, we use the penalization method to construct approximate solutions. Then, we prove uniform estimates for the penalized…

We propose a policy iteration method to solve an inverse problem for a mean-field game (MFG) model, specifically to reconstruct the obstacle function in the game from the partial observation data of value functions, which represent the…

Guided cooperation allows intelligent agents with heterogeneous capabilities to work together by following a leader-follower type of interaction. However, the associated control problem becomes challenging when the leader agent does not…

In this paper, we study fully coupled nonlocal second order quasilinear forward-backward partial differential equations (FBPDEs), which arise from solution of the mean field game (MFG) suggested by Lasry and Lions [Japan. J. Math. 2 (2007),…

We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order…

This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…

We identify structural assumptions which provide solvability of the Nash system arising from a linear-quadratic closed-loop game, with stable properties with respect to the number of players. In a setting of interactions governed by a…