5 papers
A variational mean field game of controls with free final time and pairwise interactions
Guilherme Mazanti, Laurent Pfeiffer, Saeed Sadeghi Arjmand
This article considers a mean field game model inspired by crowd motion models in which agents aim at reaching a given target set and wish to minimize a cost consisting of an indiv…
From Nash to Cournot--Nash equilibria via -convergence
João Miguel Machado, Guilherme Mazanti, Laurent Pfeiffer
This work addresses the issue of the convergence of an -player game towards a limit model involving a continuum of players, as the number of agents goes to infinity. More pr…
Two-stage stochastic algorithm for solving large-scale (non)-convex separable optimization problems under affine constraints
Benjamin Dubois-Taine, Laurent Pfeiffer, Nadia Oudjane +2
We consider nonsmooth optimization problems under affine constraints, where the objective consists of the average of the component functions of a large number of agents, and we…
A Characterization of Law-Invariant and Coherent Risk Measures through Optimal Transport
Riccardo Bonalli, Benoît Bonnet-Weill, Laurent Pfeiffer
In this article, we propose a novel characterization of law-invariant and coherent risk measures, based on a generalized optimal transport problem in which the second marginal of t…
A partition method for bounding continuous-time Markov chain models of general reaction network
Guillaume Ballif, Laurent Pfeiffer, Jakob Ruess
In this work, we present a general method to establish properties of multi-dimensional continuous-time Markov chains representing stochastic reaction networks. This method consists…