27 citations · 63 across the 16 of their papers we have counts for
17 papers
Mean Field Games of Optimal Trading with an SPDE Model of the Limit Order Book
Hanchao Liu, Dena Firoozi
We develop a mean field game model for optimal trading in which the interaction among traders is mediated by the dynamics of the limit order book. The bid- and ask-side order densi…
A Decomposition Method for LQ Conditional McKean-Vlasov Control Problems with Random Coefficients
Onésime Hounkpe, Dena Firoozi, Shuang Gao
We propose a decomposition method for solving a general class of linear-quadratic (LQ) McKean-Vlasov control problems involving conditional expectations and random coefficients, wh…
Infinite-Dimensional LQ Mean Field Games with Common Noise: Small and Arbitrary Finite Time Horizons
Hanchao Liu, Dena Firoozi
We develop the theory of linear-quadratic (LQ) mean field games (MFGs) in Hilbert spaces with common noise modeled by an infinite-dimensional Wiener process that affects the dynami…
Simultaneously Solving Infinitely Many LQ Mean Field Games In Hilbert Spaces: The Power of Neural Operators
Dena Firoozi, Anastasis Kratsios, Xuwei Yang
Traditional mean-field game (MFG) solvers operate on an instance-by-instance basis, which becomes infeasible when many related problems must be solved (e.g., for seeking a robust d…
Ranking Quantilized Mean-Field Games with an Application to Early-Stage Venture Investments
Rinel Foguen Tchuendom, Dena Firoozi, Michèle Breton
Quantilized mean-field game models involve quantiles of the population's distribution. We study a class of such games with a capacity for ranking games, where the performance of ea…
Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets
Xin Yue Ren, Dena Firoozi
In this paper, we address linear-quadratic-Gaussian (LQG) risk-sensitive mean field games (MFGs) with common noise. In this framework agents are exposed to a common noise and aim t…
Hilbert Space-Valued LQ Mean Field Games: An Infinite-Dimensional Analysis
Hanchao Liu, Dena Firoozi
This paper presents a comprehensive study of linear-quadratic (LQ) mean field games (MFGs) in Hilbert spaces, generalizing the classic LQ MFG theory to scenarios involving agen…
Large Banks and Systemic Risk: Insights from a Mean-Field Game Model
Yuanyuan Chang, Dena Firoozi, David Benatia
This paper presents a dynamic game framework to analyze the role of large banks in interbank markets. By extending existing models, we incorporate a large bank as a dynamic decisio…
LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework
Hanchao Liu, Dena Firoozi, Michèle Breton
We develop a variational approach to address risk-sensitive optimal control problems with an exponential-of-integral cost functional in a general linear-quadratic-Gaussian (LQG) si…
Principal agent mean field games in REC markets
Dena Firoozi, Arvind V Shrivats, Sebastian Jaimungal
Principal agent games are a growing area of research which focuses on the optimal behaviour of a principal and an agent, with the former contracting work from the latter, in return…
LQG Mean Field Games with a Major Agent: Nash Certainty Equivalence versus Probabilistic Approach
Dena Firoozi
Mean field game (MFG) systems consisting of a major agent and a large number of minor agents were introduced in (Huang, 2010) in an LQG setup. The Nash certainty equivalence was us…
Exploratory LQG Mean Field Games with Entropy Regularization
Dena Firoozi, Sebastian Jaimungal
We study a general class of entropy-regularized multi-variate LQG mean field games (MFGs) in continuous time with distinct sub-population of agents. We extend the notion of act…
A Mean-Field Game Approach to Equilibrium Pricing in Solar Renewable Energy Certificate Markets
Arvind Shrivats, Dena Firoozi, Sebastian Jaimungal
Solar Renewable Energy Certificate (SREC) markets are a market-based system that incentivizes solar energy generation. A regulatory body imposes a lower bound on the amount of ener…
Convex Analysis for LQG Systems with Applications to Major Minor LQG Mean-Field Game Systems
Dena Firoozi, Sebastian Jaimungal, Peter E. Caines
We develop a convex analysis approach for solving LQG optimal control problems and apply it to major-minor (MM) LQG mean-field game (MFG) systems. The approach retrieves the best r…
-Nash Equilibria for Major Minor LQG Mean Field Games with Partial Observations of All Agents
Dena Firoozi, Peter E. Caines
The partially observed major minor LQG and nonlinear mean field game (PO MM LQG MFG) systems where it is assumed the major agent's state is partially observed by each minor agent,…
A Class of Hybrid LQG Mean Field Games with State-Invariant Switching and Stopping Strategies
Dena Firoozi, Ali Pakniyat, Peter E. Caines
A novel framework is presented that combines Mean Field Game (MFG) theory and Hybrid Optimal Control (HOC) theory to obtain a unique -Nash equilibrium for a non-cooperative game…
Mean Field Game Systems with Common Noise and Markovian Latent Processes
Dena Firoozi, Peter E. Caines, Sebastian Jaimungal
In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are:…