153 citations · 427 across the 46 of their papers we have counts for
6 papers · 1 filter
Fictitious Play for Mean Field Games: Continuous Time Analysis and Applications
Sarah Perrin, Julien Perolat, Mathieu Laurière +3
In this paper, we deepen the analysis of continuous time Fictitious Play learning algorithm to the consideration of various finite state Mean Field Game settings (finite horizon, $…
Large Banking Systems with Default and Recovery: A Mean Field Game Model
Romuald Élie, Tomoyuki Ichiba, Mathieu Laurière
We consider a mean-field model for large banking systems, which takes into account default and recovery of the institutions. Building on models used for groups of interacting neuro…
On the Convergence of Model Free Learning in Mean Field Games
Romuald Elie, Julien Pérolat, Mathieu Laurière +2
Learning by experience in Multi-Agent Systems (MAS) is a difficult and exciting task, due to the lack of stationarity of the environment, whose dynamics evolves as the population l…
A new Mertens decomposition of -submartingale systems. Application to BSDEs with weak constraints at stopping times
Roxana Dumitrescu, Romuald Elie, Wissal Sabbagh +1
We first introduce the concept of -submartingale systems, where the nonlinear operator corresponds to the first component of the solution of…
An adverse selection approach to power pricing
Clémence Alasseur, Ivar Ekeland, Romuald Elie +2
We study the optimal design of electricity contracts among a population of consumers with different needs. This question is tackled within the framework of Principal-Agent problems…
On a class of path-dependent singular stochastic control problems
Romuald Elie, Ludovic Moreau, Dylan Possamaï
This paper studies a class of nonMarkovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem…