6 papers
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…