6 papers · 1 filter
On Mean-field Singular Stochastic Control Problems
Andrea Amato, Federico Cannerozzi, Giorgio Ferrari
We study a class of mean-field control (MFC) problems with singular controls over a finite horizon, allowing for general dependence of the cost functional on the measure argument.…
Optimal Coarse Correlated Equilibria in Mean Field Games: Linear Programming and No-Regret Learning
Luciano Campi, Federico Cannerozzi, Ioannis Tzouanas
We introduce optimal coarse correlated equilibria for continuous-time mean field games. A coarse correlated equilibrium is a randomized recommendation scheme from which no player c…
Stationary Mean-Field singular control of an Ornstein-Uhlenbeck process
Federico Cannerozzi
Motivated by continuous-time optimal inventory management, we study a class of stationary mean-field control problems with singular controls. The dynamics are modeled by a mean-rev…
Optimal Policy Characterization for a Class of Multi-Dimensional Ergodic Singular Stochastic Control Problems
Alessandro Calvia, Federico Cannerozzi, Giorgio Ferrari
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal o…
Cooperation, Correlation and Competition in Ergodic N-player Games and Mean-field Games of Singular Controls: A Case Study
Federico Cannerozzi, Giorgio Ferrari
We consider a class of -player games and mean-field games of singular controls with ergodic performance criterion, providing a benchmark case for irreversible investment games f…
Coarse correlated equilibria in linear quadratic mean field games and application to an emission abatement game
Luciano Campi, Federico Cannerozzi, Fanny Cartellier
Coarse correlated equilibria (CCE) are a good alternative to Nash equilibria (NE), as they arise more naturally as outcomes of learning algorithms and they may exhibit higher payof…