H. Sun. Mean field games and systemic risk. Commun. Math. Sci., 13(4):911-933, 2015.R. Carmona, J. Fouque, and L. Sun. Mean field games and systemic risk. Commun. Math. Sci, 13(4), 2015. 2Carmona R, Fouque J-P, Sun L-H (2015) Mean field games and systemic risk. ...
This paper investigates mean field games in continuous time, state and action spaces with an infinite number of agents, where each agent aims to maximize its expected cumulative reward. Using the technique of randomized policies, we show policy evaluation and policy gradient are equivalent to the ...
Carmona, R., Fouque, J.-P., Sun, L.-H.: Mean field games and systemic risk. arXiv:1308.2172 (2013) Cournot, A.: Recherches sur les Principes Mathématiques de la Théorie des Richesses. Hachette, Paris, 1838. English translation by N. T. Bacon published in Economic Classics, Macmi...
Mean field games and mean field type control theory (2013)View more references Cited by (3) An optimal control problem for the continuity equation arising in smart charging 2024, Journal of Mathematical Analysis and Applications Show abstract Large Banks and Systemic Risk: Insights from a Mean-Fi...
We derive HJB equations and apply them to two examples, a portfolio optimization and a systemic risk model.doi:10.1016/J.CRMA.2014.07.008Mathieu LaurièreOlivier PironneauElsevier BVComptes Rendus MathematiqueMathieu Lauri`ere and Olivier Pironneau. Dynamic programming for mean-field type control. ...
We give explicit solutions to the Bellman equation for the linear quadratic mean-field control problem, with applications to the mean-variance portfolio selection and a systemic risk model. We also consider a notion of lifted visc-sity solutions for the Bellman equation, and show the viscosity ...
We also study the corresponding Mean Field Game in the limit of large number of banks in the presence of a common noise.doi:10.2139/ssrn.2307814Rene CarmonaJean-Pierre FouqueLi-Hsien SunarXiv.orgPapersR. Carmona, J.P. Fouque, and A. Sun. Mean Field Games and Systemic Risk. To appear...
Graphon mean field games (GMFGs) on the other hand provide a mathematically well-founded and numerically scalable framework for a large number of connected agents. In standard GMFGs, the connections between agents are undirected, unweighted and invariant over time. Our paper introduces colored ...
We derive HJB equations and apply them to two examples, a portfolio optimization and a systemic risk model.Mathieu LaurièreOlivier PironneauComptes rendus. MathematiqueM. Lauriere and O. Pironneau, Dynamic programming for mean-field type control, Comptes Rendus Mathe- matique 352 (2014), no....
Mean field game (MFG) theory studies the existence of Nash equilibria, together with the individual strategies which generate them, in games involving a large number of asymptotically negligible agents modeled by controlled stochastic dynamical systems. This is achieved by exploiting the relationship betw...