EFFIciency of the Price Formation Process in Presence of High Frequency TRADERs: a Mean Field Game analysis
wih J.M. Lasry, C.A. Lehalle and P.L. Lions, Mathematics and Financial Economics, 2016
| mfg_price_formation_process.pdf |
Control of McKean-Vlasov Dynamics versus Mean Field Games
with R. Carmona and F. Delarue, Mathematics and Financial Economics, 2012
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this paper investigates the differences between cooperative (control of McKean-Vlasov dynamics) and non-cooperative (Mean Field Games) equilibria of large stochastic differential games. Motivated by emission regulation modeling, it provides one of the first probabilistic studies of finite horizon Mean Field Games.
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this paper investigates the differences between cooperative (control of McKean-Vlasov dynamics) and non-cooperative (Mean Field Games) equilibria of large stochastic differential games. Motivated by emission regulation modeling, it provides one of the first probabilistic studies of finite horizon Mean Field Games.
| cdl_jul12.pdf |
On a mean field game approach modeling congestion and aversion in pedestrian crowds
with M.-T Wolfram, to appear in Transportation Research Part B, Volume 15, Issue 10, 2011
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in this article we show that mean field games can cover a wide range of cases in crowd motion modeling, we study groups interactions and observe numerically lane formation and symmetry breaking
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in this article we show that mean field games can cover a wide range of cases in crowd motion modeling, we study groups interactions and observe numerically lane formation and symmetry breaking
| mtwal.pdf |
A Planning Problem Combining Calculus of Variations and Optimal Transport
with G. Carlier, Applied Mathematics and Optimization, vol 63, Number 1, pp 1-9, 2011
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paper dealing with modeling situations where the planner can choose couplings between two variables and has furthermore the possibility to control their evolution
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paper dealing with modeling situations where the planner can choose couplings between two variables and has furthermore the possibility to control their evolution
| otoc.pdf |
On the Strategic Use of Risk and Undesirable Goods in Multidimensional Screening
with F. Santambrogio, Journal of Mathematical Economics, Volume 47, Issue 7, 2011
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article on a principal-agent problem in which the monopolist can offer goods with an undesirable quality that agents are averse to, for instance we study the profitability of selling lotteries to risk-averse agents
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article on a principal-agent problem in which the monopolist can offer goods with an undesirable quality that agents are averse to, for instance we study the profitability of selling lotteries to risk-averse agents
| alfs.pdf |
Human Crowds and Groups Interactions: a Mean Field Game Approach
technical report, 2010
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paper describing two Mean Field Games large averse crowds interacting in a bounded space, a numerical approximation is provided
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paper describing two Mean Field Games large averse crowds interacting in a bounded space, a numerical approximation is provided
| mfg_cm.pdf |
A Numerical Approach for a Class of Risk-Sharing Problems with Many Agents
with G. Carlier, Journal of Mathematical Economis, Volume 47, Issue 1, 2011
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article on numerical computation of optimal risk-sharing rules when many agents (with general utilities) are involved
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article on numerical computation of optimal risk-sharing rules when many agents (with general utilities) are involved
| rs.pdf |
Control and Transport Problems in Economics: Theoretical and Numerical Aspects
PhD thesis (partially in french), 2010
| these_lachapelle.pdf |
Computation of Mean Field Equilibria in Economics
with J. Salomon and G. Turinici, published in Math. Models & Methods in Applied Sicences, Volume 20, Issue 4, 2010
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paper on numerical approximations of a class of Mean Field Games problems with application to technology switch modeling
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paper on numerical approximations of a class of Mean Field Games problems with application to technology switch modeling
| cmfee.pdf |
