Publications

Hanchao Liu and Dena Firoozi, Hilbert Space-Valued LQG Mean Field Games: An Infinite-Dimensional Analysis, available on arXiv, 2024

Xin Yue Ren and Dena Firoozi, Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets, available on arXiv, 2024

Hanchao Liu, Dena Firoozi, Michèle Breton, LQG Risk-Sensitive Single-Agent and Major-Minor Mean Field Game Systems: A Variational Framework, available on arXiv, 2023

Yuanyuan Chang, Dena Firoozi, David Benatia, Large Banks and Systemic Risk: Insights from a Mean-Field Game Model, available on arXiv, 2023

Arvind Shrivats, Dena Firoozi, Sebastian Jaimungal, Principal agent mean field games in REC markets, available on arXiv, submitted October 2022

8. Arvind Shrivats, Dena Firoozi, and Sebastian Jaimungal, A mean-field game approach to equilibrium pricing in solar renewable energy certificate markets, Mathematical Finance, vol. 32, no. 3, pp. 779-824, 2022, doi: 10.1111/mafi.12345. [article] [arXiv]

7. Dena Firoozi, LQG Mean Field Games with a Major Agent: Nash Certainty Equivalence versus Probabilistic Approach, Automatica, vol. 146, pp. 110559, 2022. [article] [arXiv]

6. Dena Firoozi, Ali Pakniyat, and Peter E. Caines, A Class of Hybrid LQG Mean Field Games with State-Invariant Switching and Stopping Strategies, Automatica, vol. 141, 2022. [article][arXiv]

5. Dena Firoozi, and Sebastian Jaimungal, Exploratory LQG Mean Field Games with Entropy Regularization, Automatica, vol. 139, 2022. [article] [arXiv]

4. Dena Firoozi and Peter E. Caines, ε-Nash Equilibria for Major Minor LQG Mean Field Games with Partial Observations of All Agents, IEEE Transactions on Automatic Control, vol. 66, no. 6, pp. 2778-2786, 2021, doi: 10.1109/TAC.2020.3010129. [article][arXiv]

3. Dena Firoozi, Sebastian Jaimugal, and Peter E. Caines, Convex Analysis for LQG Systems with Applications to Major Minor LQG Mean Field Game Systems, Systems & Control Letters, vol. 142, 2020, [article][arXiv]

2. Dena Firoozi and Peter E. Caines, The Execution Problem in Finance with Major and Minor Traders: A Mean Field Game Formulation, Advances in Dynamic and Mean Field Games: Theory, Applications, and Numerical Methods, vol. 15, pp. 107-130, 2017. [article]

1. Dena Firoozi and Mehrzad Namvar, Analysis of Gyro Noise in Nonlinear Attitude Estimation using a Single Vector Measurement, IET Control Theory and Applications, 6(14), pp. 2226-2234, 2012. [article]

1. Dena Firoozi, Peter E. Caines, and Sebastian Jaimungal, Mean Field Game Systems with Common Noise and Markovian Latent Processes

8. Dena Firoozi, and Peter E. Caines, Belief Estimation by Agents in Major Minor LQG Mean Field Games, Proceedings of the 58th IEEE Conference on Decision and Control (CDC 2019), Nice, France, pp. 1615-1622, December 2019. [article]

7. Dena Firoozi, Sebastian Jaimungal and Peter E. Caines, Mean Field Game Systems with Common and Latent Processes, Proceedings of the 57th IEEE Conference on Decision and Control (CDC 2018), Miami Beach, USA, pp. 5500-5505, December 2018. [article]

6. Dena Firoozi and Peter E. Caines, An Optimal Execution Problem in Finance Targeting the Market Trading Speed: an MFG Formulation, Proceedings of the 56th IEEE Conference on Decision and Control (CDC 2017), Melbourne, Australia, pp. 7-14, December 2017. [article]

5. Dena Firoozi, Ali Pakniyat and Peter E. Caines, A Mean Field Game-Hybrid Systems Approach to Optimal Execution Problems in Finance with Stopping Times, Proceedings of the 56th IEEE Conference on Decision and Control (CDC 2017), Melbourne, Australia, pp. 3144-3151, December 2017. [article]

4. Dena Firoozi, and Peter E. Caines, An Optimal Execution Problem in Finance with Acquisition and Liquidation Objectives: an MFG Formulation, Proceedings of the 20th World Congress of the International Federation of Automatic Control (IFAC 2017),Toulouse, France, pp. 4960-4967, July 2017. [article]

3. Dena Firoozi, and Peter E. Caines, Mean Field Game ε-Nash Equilibria for Partially Observed Optimal Execution Problems in Finance, Proceedings of the 55th IEEE Conference on Decision and Control (CDC 2016), Las Vegas, USA, pp. 268-275, December 2016. [article]

2. Dena Firoozi, and Peter E. Caines, ε-Nash Equilibria for Partially Observed LQG Mean Field Games with Major Player: Partial Observation by All Agents, Proceedings of the 54th IEEE Conference on Decision and Control (CDC 2015), Osaka, Japan, pp. 4430-4437, December 2015. [article]

1. Dena Firoozi, and Mehrzad Namvar, Noise Analysis in Satellite Attitude Estimation using a Single Vector Measurement and Gyro, Proceedings of the 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011), Orlando, USA, pp. 7476-7481, December 2011. [article]