collaborators

1 paper

math.OC2024

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…