About searching
  1. 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

  2. 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

  3. 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

  4.  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

  5. 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

  6. 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

  7. 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