70 citations · 73 across the 4 of their papers we have counts for
4 papers
Asymptotic Analysis of Mean Field Games with Small Common Noise
Saran Ahuja, Weiluo Ren, Tzu-Wei Yang
In this paper, we consider a mean field game (MFG) model perturbed by small common noise. Our goal is to give an approximation of the Nash equilibrium strategy of this game using a…
Forward-backward stochastic differential equations with monotone functionals and mean field games with common noise
Saran Ahuja, Weiluo Ren, Tzu-Wei Yang
In this paper, we consider a system of forward-backward stochastic differential equations (FBSDEs) with monotone functionals. We show the existence and uniqueness of such a system…
Limit order trading with a mean reverting reference price
Saran Ahuja, George Papanicolaou, Weiluo Ren +1
Optimal control models for limit order trading often assume that the underlying asset price is a Brownian motion since they deal with relatively short time scales. The resulting op…
Wellposedness of Mean Field Games with Common Noise Under a Weak Monotonicity Condition
Saran Ahuja
In this paper, we consider Mean Field Games in the presence of common noise relaxing the usual independence assumption of individual random noise. We assume a simple linear model w…