8 papers · 1 filter
Mean Field Competition of Optimal Switching: The Vanishing Entropy Regularization Approach
Zongxia Liang, Shu Wang, Xiang Yu
This paper studies a type of rank-based mean field game in which competing agents strategically switch among multiple effort regimes. We propose an entropy regularized auxiliary pr…
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…
A Reinforcement Learning Framework for Some Singular Stochastic Control Problems
Zongxia Liang, Xiaodong Luo, Xiang Yu
We develop a continuous-time reinforcement learning framework for a class of singular stochastic control problems without entropy regularization. The optimal singular control is ch…
Reinforcement learning for irreversible reinsurance problems: the randomized singular control approach
Zongxia Liang, Xiaodong Luo, Xiang Yu
This paper studies the continuous-time reinforcement learning for stochastic singular control with the application to an infinite-horizon irreversible reinsurance problem. The sing…
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…