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math.OC2019
Microscopic Derivation of Mean Field Game Models
Martin Frank, Michael Herty, Torsten Trimborn
Mean field game theory studies the behavior of a large number of interacting individuals in a game theoretic setting and has received a lot of attention in the past decade (Lasry a…
q-fin.TR2019
Robust Mathematical Formulation and Probabilistic Description of Agent-Based Computational Economic Market Models
Maximilian Beikirch, Simon Cramer, Martin Frank +3
In science and especially in economics, agent-based modeling has become a widely used modeling approach. These models are often formulated as a large system of difference equations…