181 citations · 548 across the 46 of their papers we have counts for
16 papers · 1 filter
Stochastic Graphon Games: II. The Linear-Quadratic Case
Alexander Aurell, Rene Carmona, Mathieu Lauriere
In this paper, we analyze linear-quadratic stochastic differential games with a continuum of players interacting through graphon aggregates, each state being subject to idiosyncrat…
Finite-State Contract Theory with a Principal and a Field of Agents
Rene Carmona, Peiqi Wang
We use the recently developed probabilistic analysis of mean field games with finitely many states in the weak formulation, to set-up a principal / agent contract theory model wher…
A Probabilistic Approach to Extended Finite State Mean Field Games
Rene Carmona, Peiqi Wang
We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale…
Numerical Probabilistic Approach to MFG
Andrea Angiuli, Christy V. Graves, Houzhi Li +3
This project investigates numerical methods for solving fully coupled forward-backward stochastic differential equations (FBSDEs) of McKean-Vlasov type. Having numerical solvers fo…
Finite State Mean Field Games with Major and Minor Players
Rene Carmona, Peiqi Wang
The goal of the paper is to develop the theory of finite state mean field games with major and minor players when the state space of the game is finite. We introduce the finite pla…
An Alternative Approach to Mean Field Game with Major and Minor Players, and Applications to Herders Impacts
Rene Carmona, Peiqi Wang
The goal of the paper is to introduce a formulation of the mean field game with major and minor players as a fixed point on a space of controls. This approach emphasizes naturally…