相关论文: Mean-Field-Type Game Theory with Rosenblatt Noise

Game theory finds nowadays a broad range of applications in engineering and machine learning. However, in a derivative-free, expensive black-box context, very few algorithmic solutions are available to find game equilibria. Here, we propose…

This paper discusses the control of coherent structures in turbulent flows, which has broad applications among complex systems in science and technology. Mean field games have been proved a powerful tool and are proposed here to control the…

This paper focuses on exploring the convergence properties of a generic player's trajectory and empirical measures in an N-player Linear-Quadratic-Gaussian Nash game, where Brownian motion serves as the common noise. The study establishes…

This paper considers the discounted criterion of nonzero-sum decentralized stochastic games with prospect players. The state and action spaces are finite. The state transition probability is nonstationary. Each player independently controls…

We have analyzed the phenomenon of stochastic resonance in a system driven by non Gaussian noises. We have considered both white and colored noises. In the latter case we have obtained a consistent Markovian approximation that enables us to…

We consider a class of linear-quadratic-Gaussian mean-field games with a major agent and considerable heterogeneous minor agents in the presence of mean-field interactions. The individual admissible controls are constrained in closed convex…

We develop a theory for continuous-time non-Markovian stochastic control problems which are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman optimality principle no longer holds. Our formulation is…

This paper is devoted to a class of finite horizon deterministic mean field games with Grushin type dynamics, state constraints and nonlocal coupling. First, we consider the optimal control problem that each agent aims to solve when the…

We study stationary mean field games with singular controls in which the representative player interacts with a long-time weighted average of the population through a discounted and an ergodic performance criterion. This class of games…

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 consider a general-sum N-player linear-quadratic game with stochastic dynamics over a finite horizon and prove the global convergence of the natural policy gradient method to the Nash equilibrium. In order to prove the convergence of the…

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…

Stochastic differential games are considered in a non-Markovian setting. Typically, in stochastic differential games the modulating process of the diffusion equation describing the state flow is taken to be Markovian. Then Nash equilibria…

We study a stochastic predator-prey model on a square lattice, where each of the six species has two superior and two inferior partners. The invasion probabilities between species depend on the predator-prey pair and are supplemented by…

In this tutorial, we provide an introduction to machine learning methods for finding Nash equilibria in games with large number of agents. These types of problems are important for the operations research community because of their…

This paper studies social optima and Nash games for mean field linear quadratic control systems, where subsystems are coupled via dynamics and individual costs. For the social control problem, we first obtain a set of forward-backward…

A standard approach to analysis of noise-induced effects in stochastic dynamics assumes a Gaussian character of the noise term describing interaction of the analyzed system with its complex surroundings. An additional assumption about the…

In this work, we study the convergence rate of the $N$-player LQG game with a Markov chain common noise towards its asymptotic Mean Field Game. By postulating a Markovian structure via two auxiliary processes for the first and second…

We study a general class of fully coupled backward-forward stochastic differential equations of mean-field type (MF-BFSDE). We derive existence and uniqueness results for such a system under weak monotonicity assumptions and without the…

We here address the question of restoration of uniqueness in mean-field games deriving from deterministic differential games with a large number of players. The general strategy for restoring uniqueness is inspired from earlier similar…