Linear-Quadratic Mean Field Games

Citations

Cited by:

1. Han, Jinhui & Ma, Guiyuan & Yam, Sheung Chi Phillip, 2022. "Relative performance evaluation for dynamic contracts in a large competitive market," European Journal of Operational Research, Elsevier, vol. 302(2), pages 768-780.
2. Shuzhen Yang, 2020. "Bellman type strategy for the continuous time mean-variance model," Papers 2005.01904, arXiv.org, revised Jul 2020.
3. Fu, Guanxing & Horst, Ulrich, 2017. "Mean Field Games with Singular Controls," Rationality and Competition Discussion Paper Series 22, CRC TRR 190 Rationality and Competition.
4. Ren'e Aid & Ofelia Bonesini & Giorgia Callegaro & Luciano Campi, 2021. "A McKean-Vlasov game of commodity production, consumption and trading," Papers 2111.04391, arXiv.org.
5. Calvia, Alessandro & Federico, Salvatore & Ferrari, Giorgio & Gozzi, Fausto, 2024. "A Mean-Field Model of Optimal Investment," Center for Mathematical Economics Working Papers 690, Center for Mathematical Economics, Bielefeld University.
6. 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.
7. Dianetti, Jodi & Ferrari, Giorgio & Fischer, Markus & Nendel, Max, 2022. "A Unifying Framework for Submodular Mean Field Games," Center for Mathematical Economics Working Papers 661, Center for Mathematical Economics, Bielefeld University.
8. 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.
9. Hanchao Liu & Dena Firoozi, 2024. "Hilbert Space-Valued LQ Mean Field Games: An Infinite-Dimensional Analysis," Papers 2403.01012, arXiv.org, revised Jul 2024.
10. Rene Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun, 2016. "Systemic Risk and Stochastic Games with Delay," Papers 1607.06373, arXiv.org.
11. Jian Yang, 2021. "Analysis of Markovian Competitive Situations Using Nonatomic Games," Dynamic Games and Applications, Springer, vol. 11(1), pages 184-216, March.
12. 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.
13. Yongxin Chen & Tryphon T. Georgiou & Michele Pavon, 2018. "Steering the Distribution of Agents in Mean-Field Games System," Journal of Optimization Theory and Applications, Springer, vol. 179(1), pages 332-357, October.
14. Ludovic Tangpi & Shichun Wang, 2022. "Optimal Bubble Riding: A Mean Field Game with Varying Entry Times," Papers 2209.04001, arXiv.org, revised Jan 2024.
15. Dianetti, Jodi, 2023. "Strong Solutions to Submodular Mean Field Games with Common Noise and Related McKean-Vlasov FBSDES," Center for Mathematical Economics Working Papers 674, Center for Mathematical Economics, Bielefeld University.
16. 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.
17. Haoyang Cao & Jodi Dianetti & Giorgio Ferrari, 2021. "Stationary Discounted and Ergodic Mean Field Games of Singular Control," Papers 2105.07213, arXiv.org.
18. Olivier F'eron & Peter Tankov & Laura Tinsi, 2020. "Price formation and optimal trading in intraday electricity markets," Papers 2009.04786, arXiv.org, revised Jun 2021.
19. Bo, Lijun & Wang, Shihua & Zhou, Chao, 2024. "A mean field game approach to optimal investment and risk control for competitive insurers," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 202-217.
20. Alessandro Calvia & Salvatore Federico & Giorgio Ferrari & Fausto Gozzi, 2024. "Existence and uniqueness results for a mean-field game of optimal investment," Papers 2404.02871, arXiv.org, revised Nov 2024.
21. Cecchin, Alekos & Pelino, Guglielmo, 2019. "Convergence, fluctuations and large deviations for finite state mean field games via the Master Equation," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4510-4555.
22. Xiaoli Wei & Xiang Yu & Fengyi Yuan, 2024. "Unified continuous-time q-learning for mean-field game and mean-field control problems," Papers 2407.04521, arXiv.org.
23. Li-Hsien Sun, 2022. "Mean Field Games with Heterogeneous Groups: Application to Banking Systems," Journal of Optimization Theory and Applications, Springer, vol. 192(1), pages 130-167, January.
24. Dianetti, Jodi & Ferrari, Giorgio & Fischer, Markus & Nendel, Max, 2019. "Submodular Mean Field Games. Existence and Approximation of Solutions," Center for Mathematical Economics Working Papers 621, Center for Mathematical Economics, Bielefeld University.
25. Li-Hsien Sun, 2019. "Systemic Risk and Heterogeneous Mean Field Type Interbank Network," Papers 1907.03082, arXiv.org, revised Sep 2019.
26. Marcel Nutz, 2016. "A Mean Field Game of Optimal Stopping," Papers 1605.09112, arXiv.org, revised Nov 2017.
27. 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.
28. René Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun, 2018. "Systemic Risk and Stochastic Games with Delay," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 366-399, November.
29. Shuzhen Yang, 2020. "Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis," Papers 2011.10966, arXiv.org.
30. Muhammad Aneeq uz Zaman & Erik Miehling & Tamer Başar, 2023. "Reinforcement Learning for Non-stationary Discrete-Time Linear–Quadratic Mean-Field Games in Multiple Populations," Dynamic Games and Applications, Springer, vol. 13(1), pages 118-164, March.
31. Li-Hsien Sun, 2018. "Systemic Risk and Interbank Lending," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 400-424, November.