Luciano Campi
YOU?
Author Swipe
View article: Coarse Correlated Equilibria in Linear Quadratic Mean Field Games and Application to an Emission Abatement Game
Coarse Correlated Equilibria in Linear Quadratic Mean Field Games and Application to an Emission Abatement Game Open
Coarse correlated equilibria (CCE) are a good alternative to Nash equilibria (NE), as they arise more naturally as outcomes of learning algorithms and as they may exhibit higher payoffs than NE. CCEs include a device which allows players’ …
View article: Continuous-time persuasion by filtering
Continuous-time persuasion by filtering Open
We frame dynamic persuasion in a partial observation stochastic control Leader-Follower game with an ergodic criterion. The Receiver controls the dynamics of a multidimensional unobserved state process. Information is provided to the Recei…
View article: Correlated Equilibria for Mean Field Games with Progressive Strategies
Correlated Equilibria for Mean Field Games with Progressive Strategies Open
In a discrete space and time framework, we study the mean field game limit for a class of symmetric N-player games based on the notion of correlated equilibrium. We give a definition of correlated solution that allows us to construct appro…
View article: Coarse correlated equilibria for continuous time mean field games in open loop strategies
Coarse correlated equilibria for continuous time mean field games in open loop strategies Open
In the framework of continuous time symmetric stochastic differential games in open loop strategies, we introduce a generalization of mean field game solution, called coarse correlated solution. This can be seen as the analogue of a coarse…
View article: Coarse correlated equilibria in linear quadratic mean field games and application to an emission abatement game
Coarse correlated equilibria in linear quadratic mean field games and application to an emission abatement game Open
Coarse correlated equilibria (CCE) are a good alternative to Nash equilibria (NE), as they arise more naturally as outcomes of learning algorithms and they may exhibit higher payoffs than NE. CCEs include a device which allows players' str…
View article: Mean field games with absorption and common noise with a model of bank run
Mean field games with absorption and common noise with a model of bank run Open
We consider a mean field game describing the limit of a stochastic differential game of N-players whose state dynamics are subject to idiosyncratic and common noise and that can be absorbed when they hit a prescribed region of the state sp…
View article: Coarse correlated equilibria for continuous time mean field games in open loop strategies
Coarse correlated equilibria for continuous time mean field games in open loop strategies Open
In the framework of continuous time symmetric stochastic differential games in open loop strategies, we introduce a generalization of mean field game solution, called coarse correlated solution. This can be seen as the analogue of a coarse…
View article: Correlated equilibria for mean field games with progressive strategies
Correlated equilibria for mean field games with progressive strategies Open
In a discrete space and time framework, we study the mean field game limit for a class of symmetric $N$-player games based on the notion of correlated equilibrium. We give a definition of correlated solution that allows to construct approx…
View article: Mean-field games of finite-fuel capacity expansion with singular controls
Mean-field games of finite-fuel capacity expansion with singular controls Open
We study Nash equilibria for a sequence of symmetric N-player stochastic games of finite-fuel capacity expansion with singular controls and their mean-field game (MFG) counterpart. We construct a solution of the MFG via a simple iterative …
View article: A McKean–Vlasov Game of Commodity Production, Consumption and Trading
A McKean–Vlasov Game of Commodity Production, Consumption and Trading Open
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short pos…
View article: Correlated Equilibria and Mean Field Games: A Simple Model
Correlated Equilibria and Mean Field Games: A Simple Model Open
In the context of simple finite-state discrete time systems, we introduce a generalization of a mean field game solution, called a correlated solution, which can be seen as the mean field game analogue of a correlated equilibrium. Our noti…
View article: A McKean-Vlasov game of commodity production, consumption and trading
A McKean-Vlasov game of commodity production, consumption and trading Open
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short pos…
View article: Mean field games with absorption and common noise with a model of bank run
Mean field games with absorption and common noise with a model of bank run Open
We consider a mean field game describing the limit of a stochastic differential game of $N$-players whose state dynamics are subject to idiosyncratic and common noise and that can be absorbed when they hit a prescribed region of the state …
View article: N-player games and mean-field games with smooth dependence on past absorptions.
N-player games and mean-field games with smooth dependence on past absorptions. Open
Mean-field games with absorption is a class of games that has been introduced in (Ann. Appl. Probab. 28 (2018) 2188–2242) and that can be viewed as natural limits of symmetric stochastic differential games with a large number of players wh…
View article: Mean-Field Games of Finite-Fuel Capacity Expansion with Singular Controls
Mean-Field Games of Finite-Fuel Capacity Expansion with Singular Controls Open
We study Nash equilibria for a sequence of symmetric $N$-player stochastic games of finite-fuel capacity expansion with singular controls and their mean-field game (MFG) counterpart. We construct a solution of the MFG via a simple iterativ…
View article: No-Arbitrage Commodity Option Pricing with Market Manipulation
No-Arbitrage Commodity Option Pricing with Market Manipulation Open
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a representative risk--neutral trader. Depending on the model, the…
View article: Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications Open
We consider a general nonzero-sum impulse game with two players. The main\nmathematical contribution of the paper is a verification theorem which\nprovides, under some regularity conditions, a suitable system of\nquasi-variational inequali…
View article: Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications Open
We consider a general nonzero-sum impulse game with two players. The main mathematical contribution of this paper is a verification theorem that provides, under some regularity conditions, a suitable system of quasi-variational inequalitie…