Dena Firoozi : Publications : 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 et Peter E. Caines

Cet article combine deux méthodes contemporaines majeures de systèmes et de contrôle permettant d'obtenir un équilibre unique de $\epsilon$ -Nash afin de ...

référence BibTeX

sept. 2017

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

Dena Firoozi et 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...

référence BibTeX

jan. 2017

G-2017-01
Mean Field Game

$\epsilon$ -Nash equilibria for partially observed optimal execution problems in finance

Dena Firoozi et 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...

référence BibTeX

mars 2025

LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework

Hanchao Liu, Dena Firoozi et Michèle Breton

À paraître dans : SIAM Journal on Control and Optimization, 2025 référence BibTeX

fév. 2025

Large Banks and Systemic Risk: Insights from a Mean-Field Game Model

Yuanyuan Chang, Dena Firoozi et David Benatia

Journal of Systems Science and Complexity, 38, 460–494, 2025 référence BibTeX

déc. 2022

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

Dena Firoozi