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Analysis and Numerical Approximation of Mean Field Game Partial Differential Inclusions
… The PDE formulation of Mean Field Games (MFG) is described by nonlinear systems in which a … interest, the underlying optimal control problem of the MFG may give rise to bang-bang controls, which typically … on the analysis and numerical approximation of second-order MFG systems for the general case of convex, Lipschitz, but …
Charles Parker. - 16 Oct 2023
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Analysis and Numerical Approximation of Stationary Second-order Mean Field Game Partial Differential Inclusions
… The formulation of Mean Field Games (MFG) via partial differential equations typically requires … and numerical approximation of stationary second-order MFG systems for the general case of convex, Lipschitz, but … In particular, we will propose a generalization of the MFG system as a Partial Differential Inclusion (PDI) based …
Benjamin Fehrman. - 12 Oct 2022
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Closing The Loop of Optimal Trading: a Mean Field Game of Controls
… liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical … the prices permanently too, and acting strategically. Our MFG formulation of this problem belongs to the class of " extended MFG ", we hence provide generic results to address these …
Laura Auger. - 03 Apr 2022
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Machine Learning for Mean Field Games
… Mean field games (MFG) and mean field control problems (MFC) are frameworks to … In this talk, we propose several numerical methods for MFG and MFC. These methods are based on machine learning …
Petrona Winton. - 03 Apr 2022
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Multi-agent reinforcement learning: a mean-field perspective
… we first formulate a generalized mean-field game (MFG) and establish the existence and uniqueness of the MFG solution. Next we show the lack of stability in naive …
Petrona Winton. - 03 Apr 2022
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Mean-Field Games with Differing Beliefs for Algorithmic Trading
… probability measure. We analyse the mean-field game (MFG) limit of the stochastic game and show that the Nash … terms of expectations of the filtered states. We prove the MFG strategy forms an \epsilon-Nash equilibrium for the …
Laura Auger. - 03 Apr 2022
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Frontiers in Quantitative Finance
… 2010, with H Verdier, J Lasry and P.L. Lions he co-founded MFG Labs, a start-up purchased by Havas Media in 2013. …
Ariana Weldon. - 02 Aug 2023