Stochastic graphon games: Ii. the linear-quadratic case

A Aurell, R Carmona, M Lauriere - Applied Mathematics & Optimization, 2022 - Springer
In this paper, we analyze linear-quadratic stochastic differential games with a continuum of
players interacting through graphon aggregates, each state being subject to idiosyncratic …

Optimality of independently randomized symmetric policies for exchangeable stochastic teams with infinitely many decision makers

S Sanjari, N Saldi, S Yüksel - Mathematics of Operations …, 2023 - pubsonline.informs.org
We study stochastic teams (known also as decentralized stochastic control problems or
identical interest stochastic dynamic games) with large or countably infinite numbers of …

Nash equilibria for exchangeable team against team games and their mean field limit

S Sanjari, N Saldi, S Yüksel - 2023 American Control …, 2023 - ieeexplore.ieee.org
We study stochastic mean-field games among finite number of teams each with large finite
as well as infinite numbers of decision makers (DMs). We establish the existence of a Nash …

Equilibrium price formation with a major player and its mean field limit

M Fujii, A Takahashi - ESAIM: Control, Optimisation and Calculus of …, 2022 - esaim-cocv.org
In this article, we consider the problem of equilibrium price formation in an incomplete
securities market consisting of one major financial firm and a large number of minor firms …

[HTML][HTML] An escort replicator dynamic with a continuous action space and its application to resource management

H Yoshioka - Chaos, Solitons & Fractals, 2024 - Elsevier
The escort replicator dynamic (ERD) is a version of the replicator dynamic in evolutionary
games where the utility-driven decision-making process is modulated due to the information …

Nash Equilibria for Exchangeable Team-Against-Team Games, Their Mean-Field Limit, and the Role of Common Randomness

S Sanjari, N Saldi, S Yüksel - SIAM Journal on Control and Optimization, 2024 - SIAM
We study stochastic exchangeable games among a finite number of teams consisting of a
large but finite number of decision makers as well as their mean-field limit with infinite …

Mean field game of optimal relative investment with jump risk

L Bo, S Wang, X Yu - Science China Mathematics, 2024 - Springer
In this paper, we study the n-player game and the mean field game under the constant
relative risk aversion relative performance on terminal wealth, in which the interaction occurs …

Mean-field games among teams

J Subramanian, A Kumar, A Mahajan - arXiv preprint arXiv:2310.12282, 2023 - arxiv.org
In this paper, we present a model of a game among teams. Each team consists of a
homogeneous population of agents. Agents within a team are cooperative while the teams …

Many-Agent Convex and Non-convex Exchangeable (Mean-Field) Teams and Optimality of Symmetric Policies

S Yüksel, T Başar - Stochastic Teams, Games, and Control under …, 2024 - Springer
In this chapter, we focus on teams with a high, and even infinite, population of DMs. We will
be building on the results presented until now to arrive at optimality and structural results for …

Optimal Relative Performance Criteria in Mean-Field Contribution Games

Z Zhou - Mathematics of Operations Research, 2023 - pubsonline.informs.org
We consider mean-field contribution games, where players in a team choose some effort
levels at each time period and the aggregate reward for the team depends on the aggregate …