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Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance
Financial markets and more generally macro-economic models involve a large number of individuals interacting through variables such as prices resulting from the aggregate behavior of all the agents.
Policy Optimization for Linear-Quadratic Zero-Sum Mean-Field Type Games
In particular, the case in which the transition and utility functions depend on the state, the action of the controllers, and the mean of the state and the actions, is investigated.
Linear-Quadratic Zero-Sum Mean-Field Type Games: Optimality Conditions and Policy Optimization
In particular, the case in which the transition and utility functions depend on the state, the action of the controllers, and the mean of the state and the actions, is investigated.
Model-Free Mean-Field Reinforcement Learning: Mean-Field MDP and Mean-Field Q-Learning
We study infinite horizon discounted Mean Field Control (MFC) problems with common noise through the lens of Mean Field Markov Decision Processes (MFMDP).
Linear-Quadratic Mean-Field Reinforcement Learning: Convergence of Policy Gradient Methods
We investigate reinforcement learning for mean field control problems in discrete time, which can be viewed as Markov decision processes for a large number of exchangeable agents interacting in a mean field manner.
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: II -- The Finite Horizon Case
The second method tackles a generic forward-backward stochastic differential equation system (FBSDE) of McKean-Vlasov type, and relies on suitable reformulation as a mean field control problem.
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: I -- The Ergodic Case
Finally, we illustrate the fact that, although the first algorithm is specifically designed for mean field control problems, the second one is more general and can also be applied to the partial differential equation systems arising in the theory of mean field games.
