Dena Firoozi

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Publications

Cahiers du GERAD

Nov 2018

G-2018-95
A hybrid optimal control approach to mean field games with applications in optimal execution problems

Dena Firoozi, Ali Pakniyat, and Peter E. Caines

The paper combines two major contemporary systems and control methodologies to obtain a unique \(\epsilon\)-Nash equilibrium for optimal execution problem...

BibTeX reference

Sep 2017

G-2017-76
An optimal execution problem in finance with acquisition and liquidation objectives: An MFG formulation

Dena Firoozi and Peter E. Caines

Partially observed major minor LQG mean field game theory is applied to an optimal execution problem in finance; following standard financial models, control...

BibTeX reference

Jan 2017

G-2017-01
Mean Field Game \(\epsilon\)-Nash equilibria for partially observed optimal execution problems in finance

Dena Firoozi and Peter E. Caines

Partially observed Mean Field Game (PO MFG) theory was introduced and developed in (Caines and Kizilkale, 2013, 2014, Şen and Caines 2014, 2015), where it i...

BibTeX reference

Articles

Dec 2022

LQG mean field games with a major agent: Nash certainty equivalence versus probabilistic approach

Dena Firoozi

Automatica, 146, Paper no: 110559, 2022 BibTeX reference

Jul 2022

A class of hybrid LQG mean field games with state-invariant switching and stopping strategies

Dena Firoozi, Ali Pakniyat, and Peter E. Caines

Automatica, 141, Paper no: 110244, 2022 BibTeX reference

Jun 2021

\(\epsilon\)-Nash equilibria for major-minor LQG mean field games with partial observations of all agents

Dena Firoozi and Peter E. Caines

IEEE Transactions on Automatic Control, 66(6), 2778 –2786, 2021 BibTeX reference

Aug 2020

Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems

Dena Firoozi, Sebastian Jaimungal, and Peter E. Caines

Systems & Control Letters, 142, 104734, 2020 BibTeX reference

Book chapters

Jul 2017

The execution problem in finance with major and minor traders: A mean field game formulation

Dena Firoozi and Peter E. Caines

Apaloo J., Viscolani B. (eds), Advances in Dynamic and Mean Field Games. ISDG 2016, Annals of the International Society of Dynamic Games, vol. 15, Birkhäuser, Cham, 107–130, 2017 BibTeX reference

Proceedings

Dec 2019

Belief estimation by agents in major minor LQG mean field games

Dena Firoozi and Peter E. Caines

IEEE 58th Conference on decision and control, Nice, France, 1615–1622, 2019 BibTeX reference

Dec 2018

Mean field game systems with common and latent processes

Dena Firoozi, Sebastian Jaimungal, and Peter E. Caines

2018 IEEE Conference on Decision and Control (CDC), Miami Beach, USA, 5500–5505, 2018 BibTeX reference

Dec 2017

An optimal execution problem in finance targeting the market trading speed: An MFG formulation

Dena Firoozi and Peter E. Caines

56th IEEE Conference on Decision and Control, Melbourne, Australia, 7–14, 2017 BibTeX reference

Dec 2017

A mean field game - Hybrid systems approach to optimal execution problems in finance with stopping times

Dena Firoozi, Ali Pakniyat, and Peter E. Caines

56th IEEE Conference on Decision and Control, Melbourne, Australia, 3144–3151, 2017 BibTeX reference

Jul 2017

An optimal execution problem in finance with acquisition and liquidation objectives: an MFG formulation

Dena Firoozi and Peter E. Caines

IFAC-PapersOnLine, 50(1), 4960–4967, 2017 BibTeX reference

Dec 2016

Mean Field Game epsilon-Nash equilibria for partially observed optimal execution problems in finance

Dena Firoozi and Peter E. Caines

2016 IEEE 55th Conference on Decision and Control (CDC), Las Vegas, USA, 268–275, 2016 BibTeX reference

Sep 2016

The execution problem in finance: A partially observed mean field game formulation

Peter E. Caines and Dena Firoozi

AMS Fall Meeting, Bowdoin College, Brunswick, USA, 2016 BibTeX reference

Jul 2016

The execution problem in finance: A mean field game formulation

Dena Firoozi and Peter E. Caines

17th International Symposium on Dynamic Games and Applications, Urbino, Italie, 2016 BibTeX reference

Dec 2015

Epsilon-Nash equilibria for partially observed LQG mean field games with major agent: Partial observations by all agents

Dena Firoozi and Peter E. Caines

2015 IEEE 54th Annual Conference on Decision and Control (CDC), Osaka, Japon, 4430–4437, 2015 BibTeX reference