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math.OC2026
Fast and slow mean-field games
Roxana Dumitrescu, Julian Gutierrez Pineda, Peter Tankov
We propose a framework for constructing approximate Nash equilibria in mean-field games (MFG) with common noise based on a two-time-scale structure. In our model, the common noise…
math.OC2026
Law-invariant BSDEs and dynamic risk measures: new characterizations
Zakaria Bensaid, Roxana Dumitrescu, Anis Matoussi +1
We provide a new characterization of law-invariant backward stochastic differential equations (i.e. BSDEs) with quadratic growth. This answers the open question raised in Xu--Xu--Z…
math.OC2025
Entropy Regularization in Mean-Field Games of Optimal Stopping
Jodi Dianetti, Roxana Dumitrescu, Giorgio Ferrari +1
We study mean-field games of optimal stopping (OS-MFGs) and introduce an entropy-regularized framework to enable learning-based solution methods. By utilizing randomized stopping t…