4 citations · 4 across the 6 of their papers we have counts for
8 papers · 1 filter
Equilibrium for Time-inconsistent Mean Field Games: A Systematic Analysis by Entropy Regularization
Erhan Bayraktar, Zhenhua Wang, Xiang Yu +1
This paper studies the existence and approximation of equilibria for general time-inconsistent mean field game (MFG) problems in continuous time. To handle the intricate nonlocal e…
Policy Iteration Achieves Regularized Equilibrium under Time Inconsistency
Yu-Jui Huang, Xiang Yu, Keyu Zhang
For a general entropy-regularized time-inconsistent stochastic control problem, we propose a policy iteration algorithm (PIA) and establish its convergence to an equilibrium policy…
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…
Constrained portfolio game with heterogeneous agents
Zongxia Liang, Keyu Zhang, Yaqi Zhuang
We investigate stochastic utility maximization games under relative performance concerns in both finite-agent and infinite-agent (graphon) settings. An incomplete market model is c…
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…
A Mean Field Game Approach to Relative Investment-Consumption Games with Habit Formation
Zongxia Liang, Keyu Zhang
This paper studies an optimal investment-consumption problem for competitive agents with exponential or power utilities and a common finite time horizon. Each agent regards the ave…
Equilibrium stochastic control with implicitly defined objective functions
Zongxia Liang, Jianming Xia, Keyu Zhang
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equil…