27 citations · 63 across the 16 of their papers we have counts for
11 papers · 1 filter
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…
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…
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…
-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,…
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:…