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Mean Field Games and Applications

Citations

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Cited by:

  1. Martin Frank & Michael Herty & Torsten Trimborn, 2019. "Microscopic Derivation of Mean Field Game Models," Papers 1910.13534, arXiv.org.
  2. Ivan Cherednik, 2019. "Artificial intelligence approach to momentum risk-taking," Papers 1911.08448, arXiv.org, revised Mar 2020.
  3. Pierre Cardaliaguet & Charles-Albert Lehalle, 2016. "Mean Field Game of Controls and An Application To Trade Crowding," Papers 1610.09904, arXiv.org, revised Sep 2017.
  4. Michael Ludkovski & Xuwei Yang, 2017. "Mean Field Game Approach to Production and Exploration of Exhaustible Commodities," Papers 1710.05131, arXiv.org.
  5. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2021. "A statistical field approach to capital accumulation," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(4), pages 817-908, October.
  6. Régis Chenavaz & Corina Paraschiv & Gabriel Turinici, 2017. "Dynamic Pricing of New Products in Competitive Markets: A Mean-Field Game Approach," Working Papers hal-01592958, HAL.
  7. Chen, Enxian & Qiao, Lei & Sun, Xiang & Sun, Yeneng, 2022. "Robust perfect equilibrium in large games," Journal of Economic Theory, Elsevier, vol. 201(C).
  8. Lacker, Daniel, 2015. "Mean field games via controlled martingale problems: Existence of Markovian equilibria," Stochastic Processes and their Applications, Elsevier, vol. 125(7), pages 2856-2894.
  9. Marcel Nutz & Yuchong Zhang, 2019. "A Mean Field Competition," Management Science, INFORMS, vol. 44(4), pages 1245-1263, November.
  10. Haoyang Cao & Jodi Dianetti & Giorgio Ferrari, 2021. "Stationary Discounted and Ergodic Mean Field Games of Singular Control," Papers 2105.07213, arXiv.org.
  11. Berenice Anne Neumann, 2020. "Stationary Equilibria of Mean Field Games with Finite State and Action Space," Dynamic Games and Applications, Springer, vol. 10(4), pages 845-871, December.
  12. Cao, Haoyang & Guo, Xin, 2022. "MFGs for partially reversible investment," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 995-1014.
  13. Neumann, Berenice Anne, 2022. "Essential stationary equilibria of mean field games with finite state and action space," Mathematical Social Sciences, Elsevier, vol. 120(C), pages 85-91.
  14. Erhan Bayraktar & Yuchong Zhang, 2016. "A rank based mean field game in the strong formulation," Papers 1603.06312, arXiv.org, revised Oct 2016.
  15. Régis Chenavaz & Corina Paraschiv & Gabriel Turinici, 2021. "Dynamic Pricing of New Products in Competitive Markets: A Mean-Field Game Approach," Dynamic Games and Applications, Springer, vol. 11(3), pages 463-490, September.
  16. Zongxi Li & A. Max Reppen & Ronnie Sircar, 2019. "A Mean Field Games Model for Cryptocurrency Mining," Papers 1912.01952, arXiv.org, revised Jan 2022.
  17. Amir Mosavi & Pedram Ghamisi & Yaser Faghan & Puhong Duan, 2020. "Comprehensive Review of Deep Reinforcement Learning Methods and Applications in Economics," Papers 2004.01509, arXiv.org.
  18. Doruk Cetemen & Felix Zhiyu Feng & Can Urgun, 2019. "Contracting with Non-Exponential Discounting: Moral Hazard and Dynamic Inconsistency," Working Papers 2019-17, Princeton University. Economics Department..
  19. Daniel Lacker & Thaleia Zariphopoulou, 2017. "Mean field and n-agent games for optimal investment under relative performance criteria," Papers 1703.07685, arXiv.org, revised Jun 2018.
  20. Mathieu Laurière & Olivier Pironneau, 2016. "Dynamic Programming for Mean-Field Type Control," Journal of Optimization Theory and Applications, Springer, vol. 169(3), pages 902-924, June.
  21. Jin Ma & Eunjung Noh, 2020. "Equilibrium Model of Limit Order Books: A Mean-field Game View," Papers 2002.12857, arXiv.org, revised Mar 2020.
  22. Philippe Casgrain & Sebastian Jaimungal, 2018. "Mean-Field Games with Differing Beliefs for Algorithmic Trading," Papers 1810.06101, arXiv.org, revised Dec 2019.
  23. Dario Bauso & Raffaele Pesenti & Marco Tolotti, 2016. "Opinion Dynamics and Stubbornness Via Multi-Population Mean-Field Games," Journal of Optimization Theory and Applications, Springer, vol. 170(1), pages 266-293, July.
  24. A. Bensoussan & K. Sung & S. Yam, 2013. "Linear–Quadratic Time-Inconsistent Mean Field Games," Dynamic Games and Applications, Springer, vol. 3(4), pages 537-552, December.
  25. Nuño, Galo, 2013. "Optimal control with heterogeneous agents in continuous time," Working Paper Series 1608, European Central Bank.
  26. Matteo Basei & Huyên Pham, 2019. "A Weak Martingale Approach to Linear-Quadratic McKean–Vlasov Stochastic Control Problems," Journal of Optimization Theory and Applications, Springer, vol. 181(2), pages 347-382, May.
  27. Yves Achdou & Jiequn Han & Jean-Michel Lasry & Pierre-Louis Lionse & Benjamin Moll, 2022. "Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(1), pages 45-86.
  28. Deepanshu Vasal, 2022. "Master equation of discrete-time Stackelberg mean field games with multiple leaders," Papers 2209.03186, arXiv.org.
  29. Fabio Priuli, 2015. "Linear-Quadratic $$N$$ N -Person and Mean-Field Games: Infinite Horizon Games with Discounted Cost and Singular Limits," Dynamic Games and Applications, Springer, vol. 5(3), pages 397-419, September.
  30. Benazzoli, Chiara & Campi, Luciano & Di Persio, Luca, 2020. "Mean field games with controlled jump–diffusion dynamics: Existence results and an illiquid interbank market model," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 6927-6964.
  31. Achdou, Yves & Han, Jiequn & Lasry, Jean Michel & Lions, Pierre Louis & Moll, Ben, 2022. "Income and wealth distribution in macroeconomics: a continuous-time approach," LSE Research Online Documents on Economics 107422, London School of Economics and Political Science, LSE Library.
  32. Kalai, Ehud & Shmaya, Eran, 2018. "Large strategic dynamic interactions," Journal of Economic Theory, Elsevier, vol. 178(C), pages 59-81.
  33. Marcel Nutz, 2016. "A Mean Field Game of Optimal Stopping," Papers 1605.09112, arXiv.org, revised Nov 2017.
  34. Minyi Huang, 2013. "A Mean Field Capital Accumulation Game with HARA Utility," Dynamic Games and Applications, Springer, vol. 3(4), pages 446-472, December.
  35. Benazzoli, Chiara & Campi, Luciano & Di Persio, Luca, 2019. "ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps," Statistics & Probability Letters, Elsevier, vol. 154(C), pages 1-1.
  36. Philippe Casgrain & Sebastian Jaimungal, 2020. "Mean‐field games with differing beliefs for algorithmic trading," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 995-1034, July.
  37. Paolo Dai Pra & Elena Sartori & Marco Tolotti, 2019. "Climb on the Bandwagon: Consensus and Periodicity in a Lifetime Utility Model with Strategic Interactions," Dynamic Games and Applications, Springer, vol. 9(4), pages 1061-1075, December.
  38. Yves Achdou & Jiequn Han & Jean-Michel Lasry & Pierre-Louis Lions & Benjamin Moll, 2017. "Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach," NBER Working Papers 23732, National Bureau of Economic Research, Inc.
  39. Chamberlain, Jonathan & Simhon, Eran & Starobinski, David, 2021. "Preemptible queues with advance reservations: Strategic behavior and revenue management," European Journal of Operational Research, Elsevier, vol. 293(2), pages 561-578.
  40. Cao, Haoyang & Dianetti, Jodi & Ferrari, Giorgio, 2021. "Stationary Discounted and Ergodic Mean Field Games of Singular Control," Center for Mathematical Economics Working Papers 650, Center for Mathematical Economics, Bielefeld University.
  41. Qing Tang & Fabio Camilli, 2020. "Variational Time-Fractional Mean Field Games," Dynamic Games and Applications, Springer, vol. 10(2), pages 573-588, June.
  42. Christoph Belak & Daniel Hoffmann & Frank T. Seifried, 2020. "Continuous-Time Mean Field Games with Finite StateSpace and Common Noise," Working Paper Series 2020-05, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  43. Philippe Casgrain & Sebastian Jaimungal, 2018. "Mean Field Games with Partial Information for Algorithmic Trading," Papers 1803.04094, arXiv.org, revised Mar 2019.
  44. A. Bensoussan & K. C. J. Sung & S. C. P. Yam & S. P. Yung, 2016. "Linear-Quadratic Mean Field Games," Journal of Optimization Theory and Applications, Springer, vol. 169(2), pages 496-529, May.
  45. Yves Achdou & Pierre-Noël Giraud & Jean-Michel Lasry & Pierre Louis Lions, 2016. "A Long-Term Mathematical Model for Mining Industries," Post-Print hal-01412551, HAL.
  46. Lijun Bo & Shihua Wang & Xiang Yu, 2021. "Mean Field Game of Optimal Relative Investment with Jump Risk," Papers 2108.00799, arXiv.org, revised Feb 2023.
  47. Bonnemain, Thibault & Ullmo, Denis, 2019. "Mean field games in the weak noise limit : A WKB approach to the Fokker–Planck equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 310-325.
  48. Ahuja, Saran & Ren, Weiluo & Yang, Tzu-Wei, 2019. "Forward–backward stochastic differential equations with monotone functionals and mean field games with common noise," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 3859-3892.
  49. Ermal Feleqi, 2013. "The Derivation of Ergodic Mean Field Game Equations for Several Populations of Players," Dynamic Games and Applications, Springer, vol. 3(4), pages 523-536, December.
  50. Kashif Mehmood & Muhammad Tabish Niaz & Hyung Seok Kim, 2019. "A Power Control Mean Field Game Framework for Battery Lifetime Enhancement of Coexisting Machine-Type Communications," Energies, MDPI, vol. 12(20), pages 1-23, October.
  51. Olivier Gallay & Fariba Hashemi & Max-Olivier Hongler, 2019. "Imitation, Proximity, And Growth — A Collective Swarm Dynamics Approach," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-43, August.
  52. Amirhosein Mosavi & Yaser Faghan & Pedram Ghamisi & Puhong Duan & Sina Faizollahzadeh Ardabili & Ely Salwana & Shahab S. Band, 2020. "Comprehensive Review of Deep Reinforcement Learning Methods and Applications in Economics," Mathematics, MDPI, vol. 8(10), pages 1-42, September.
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