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On the value of a time-inconsistent mean-field zero-sum Dynkin game
We study a mean-field zero-sum Dynkin game (MF-ZSDG) with time-inconsistent performance functionals adapted to the Brownian filtration. Despite the...
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Sequential Decomposition of Discrete-Time Mean-Field Games
We consider both finite- and infinite-horizon discounted mean-field games where there is a large population of homogeneous players sequentially...
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Mean Field Control and Finite Agent Approximation for Regime-Switching Jump Diffusions
We consider a jump-diffusion mean field control problem with regime switching in the state dynamics. The corresponding value function is...
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On the mean field limit of the Random Batch Method for interacting particle systems
The Random Batch Method proposed in our previous work (** et al. J Comput Phys, 2020) is not only a numerical method for interacting particle...
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Mean Field Games for Diel Vertical Migration with Diffusion
We present a theoretical framework, based on differential mean field games, for expressing diel vertical migration in the ocean as a game with a...
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A Mean-Field Game Model of Electricity Market Dynamics
We develop a model for the long-term dynamics of electricity market, based on mean-field games of optimal stop**. Our paper extends the recent...
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Optimal bubble riding with price-dependent entry: a mean field game of controls with common noise
In this paper we further extend the optimal bubble riding model proposed in Tangpi and Wang (Optimal bubble riding: a mean field game with varying...
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Continuous-Time Mean Field Markov Decision Models
We consider a finite number of N statistically equal agents, each moving on a finite set of states according to a continuous-time Markov Decision...
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Partially Observed Discrete-Time Risk-Sensitive Mean Field Games
In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce...
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An optimal advertising model with carryover effect and mean field terms
We consider a class of optimal advertising problems under uncertainty for the introduction of a new product into the market, on the line of the...
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Propagation of chaos for maxima of particle systems with mean-field drift interaction
We study the asymptotic behavior of the normalized maxima of real-valued diffusive particles with mean-field drift interaction. Our main result...
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Mean-field ranking games with diffusion control
We consider a stochastic differential game, where each player continuously controls the diffusion intensity of her own state process. The players...
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Multiple-Population Discrete-Time Mean Field Games with Discounted and Total Payoffs: The Existence of Equilibria
In the paper we present a model of discrete-time mean-field game with several populations of players. Mean-field games with multiple populations of...
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A Hessian-Dependent Functional With Free Boundaries and Applications to Mean-Field Games
We study a Hessian-dependent functional driven by a fully nonlinear operator. The associated Euler-Lagrange equation is a fully nonlinear mean-field...
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A mean field game approach to relative investment–consumption games with habit formation
This paper studies an optimal investment–consumption problem for competitive agents with exponential or power utilities and a common finite time...
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On Quasi-Stationary Mean Field Games of Controls
In Mean Field Games of Controls, the dynamics of the single agent is influenced not only by the distribution of the agents, as in the classical...
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Generic Properties of First-Order Mean Field Games
We consider a class of deterministic mean field games, where the state associated with each player evolves according to an ODE which is linear...
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Approximation of Deterministic Mean Field Games with Control-Affine Dynamics
We consider deterministic mean field games where the dynamics of a typical agent is non-linear with respect to the state variable and affine with...
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Well-Posedness for Mean Field Games with Finite State and Action Space
The main purpose of this paper is to investigate the well-posedness for mean field game with finite state and action space (FSASMFG) by using...
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A Mean-Field Laser Quantum Master Equation
We discuss the properties of a master equation on density matrices with nonlinear mean-field Hamiltonian that models a simple laser. We show the...