4 papers · 1 filter
Mean-Field Game of Relative Performance Portfolio for Two Populations with Poisson Common Noise
Yuchen Li, Zongxia Liang, Xiang Yu
This paper studies the mean field game (MFG) and N-player game on relative performance portfolio management with two heterogeneous populations. In addition to the Brownian idiosync…
Mean Field Game with Reflected Jump Diffusion Dynamics: A Linear Programming Approach
Zongxia Liang, Xiang Yu, Keyu Zhang
This paper develops a linear programming approach for mean field games with reflected jump-diffusion dynamics. We first prove the equivalence between the mean field equilibria in t…
Major-Minor Mean Field Game of Stopping: An Entropy Regularization Approach
Xiang Yu, Jiacheng Zhang, Keyu Zhang +1
This paper studies a discrete-time major-minor mean field game of stopping where the major player can choose either an optimal control or stopping time. We look for the relaxed equ…
On time-inconsistent extended mean-field control problems with common noise
Zongxia Liang, Xiang Yu, Keyu Zhang
This paper studies a class of time-inconsistent mean field control (MFC) problems in the presence of common noise under non-exponential discount and joint law dependence of both st…