5 papers · 1 filter
Entropy Regularization in Mean-Field Games of Optimal Stopping
Jodi Dianetti, Roxana Dumitrescu, Giorgio Ferrari +1
We study mean-field games of optimal stopping (OS-MFGs) and introduce an entropy-regularized framework to enable learning-based solution methods. By utilizing randomized stopping t…
Pasting of Equilibria and Donsker-type Results for Mean Field Games
Jodi Dianetti, Max Nendel, Ludovic Tangpi +1
This paper studies the relation between equilibria in single-period, discrete-time and continuous-time mean field game models. First, for single-period mean field games, we establi…
Optimal consumption and investment under relative performance criteria with Epstein-Zin utility
Jodi Dianetti, Frank Riedel, Lorenzo Stanca
We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive…
Multiple equilibria in mean-field game models for large oligopolies with strategic complementarities
Jodi Dianetti, Salvatore Federico, Giorgio Ferrari +1
We consider continuous-time mean-field stochastic games with strategic complementarities. The interaction between the representative productive firm and the population of rivals co…
Linear-quadratic-singular stochastic differential games and applications
Jodi Dianetti
We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential…