2 citations · 2 across the 6 of their papers we have counts for
6 papers
Quantitative comparison of closed- and open-loop linear-quadratic -player differential games
Asaf Cohen, Jiamin Jian
We compare closed-loop and open-loop Nash equilibria in a finite-horizon stochastic linear-quadratic -player game with decoupled state dynamics and interaction through the state…
On modified Euler methods for McKean-Vlasov stochastic differential equations with super-linear coefficients
Jiamin Jian, Qingshuo Song, Xiaojie Wang +2
We introduce a new class of numerical methods for solving McKean-Vlasov stochastic differential equations, which are relevant in the context of distribution-dependent or mean-field…
Long-Time Behaviors of Stochastic Linear-Quadratic Optimal Control Problems
Jiamin Jian, Sixian Jin, Qingshuo Song +1
This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the…
Convergence Rate of LQG Mean Field Games with Common Noise
Jiamin Jian, Qingshuo Song, Jiaxuan Ye
This paper focuses on exploring the convergence properties of a generic player's trajectory and empirical measures in an N-player Linear-Quadratic-Gaussian Nash game, where Brownia…
The convergence rate of the equilibrium measure for the hybrid LQG Mean Field Game
Jiamin Jian, Peiyao Lai, Qingshuo Song +1
In this work, we study the convergence rate of the -player LQG game with a Markov chain common noise towards its asymptotic Mean Field Game. By postulating a Markovian structure…
On the Graphon Mean Field Game Equations: Individual Agent Affine Dynamics and Mean Field Dependent Performance Functions
Peter E. Caines, Daniel W. C. HO, Minyi Huang +2
This paper establishes unique solvability of a class of Graphon Mean Field Game equations. The special case of a constant graphon yields the result for the Mean Field Game equation…