Stochastic graphon games: Ii. the linear-quadratic case
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 …
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
We study stochastic teams (known also as decentralized stochastic control problems or
identical interest stochastic dynamic games) with large or countably infinite numbers of …
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
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 …
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 …
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 …
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
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 …
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
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 …
relative risk aversion relative performance on terminal wealth, in which the interaction occurs …
Mean-field games among teams
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 …
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
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 …
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 …
levels at each time period and the aggregate reward for the team depends on the aggregate …