Corpus ID: 52341774

Mean Field Game Systems with Common Noise and Markovian Latent Processes

@article{Firoozi2018MeanFG,
  title={Mean Field Game Systems with Common Noise and Markovian Latent Processes},
  author={Dena Firoozi and Peter E. Caines and Sebastian Jaimungal},
  journal={ArXiv},
  year={2018},
  volume={abs/1809.07865}
}
  • Dena Firoozi, Peter E. Caines, Sebastian Jaimungal
  • Published 2018
  • Mathematics, Computer Science
  • ArXiv
  • In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii) systemic risk induced through inter-bank lending/borrowing. Moreover, agents' actions often affect the environment, and some agent's may be small while others large. Hence sub-population of agents may act as minor agents, while another class may act as major… CONTINUE READING

    Topics from this paper.

    Citations

    Publications citing this paper.

    Mean Field Game Systems with Common and Latent Processes

    VIEW 1 EXCERPT
    CITES BACKGROUND

    References

    Publications referenced by this paper.
    SHOWING 1-10 OF 42 REFERENCES

    Mean Field Game Systems with Common and Latent Processes

    VIEW 1 EXCERPT

    Mean field games with partially observed major player and stochastic mean field

    Mean Field Game Theory with a Partially Observed Major Agent

    Mean Field Game ε-Nash equilibria for partially observed optimal execution problems in finance

    VIEW 1 EXCERPT