hec.ca > Faculty

Dena Firoozi

Assistant Professor,  Department of Decision Sciences

Dena Firoozi

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email : dena.firoozi@hec.ca
Phone : 514 340-6350
Secretary: 514 340-6472
Fax : n/a
Office : 4.811

Personal page

Education

  • Ph. D. (Electrical Engineering), McGill University
  • M. Sc. (Electrical Engineering), Sharif University of Technology

Expertise

  • Mathematical Finance
  • Mean Field Games
  • Stochastic Control
  • Estimation

Current research

  • Forthcoming

This publication selection covers the last five years.


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Journal articles (9)

FIROOZI, Dena, LIU, Hanchao; « Hilbert Space-Valued LQ Mean Field Games: An Infinite-Dimensional Analysis », SIAM Journal on Control and Optimization, 2025 (status : in press).

LIU, Hanchao, FIROOZI, Dena, BRETON, Michèle; « LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework », SIAM Journal on Control and Optimization, 2025 (status : in press).

CHANG, Yuanyuan, FIROOZI, Dena, BENATIA, David; « Large Banks and Systemic Risk: Insights from a Mean-Field Game Model », Journal of Systems Science and Complexity, vol. 38, no 1, 2025, p. 460-494.

FIROOZI, Dena; « LQG mean field games with a major agent: Nash certainty equivalence versus probabilistic approach », Automatica, vol. 146, 2022, p. 1-5.

SHRIVATS, Arvind, FIROOZI, Dena, JAIMUNGAL, Sebastian; « A mean-field game approach to equilibrium pricing in solar renewable energy certificate markets », Mathematical Finance, vol. 32, no 3, 2022, p. 779-824.

FIROOZI, Dena, PAKNIYAT, Ali, CAINES, Peter E.; « A class of hybrid LQG mean field games with state-invariant switching and stopping strategies », Automatica, vol. 141, 2022, p. 1-14.

FIROOZI, Dena, JAIMUNGAL, Sebastian; « Exploratory LQG mean field games with entropy regularization », Automatica, vol. 139, 2022, p. 1-12.

FIROOZI, Dena, CAINES, Peter E.; « 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, 2021, p. 2778-2786.

FIROOZI, Dena, JAIMUNGAL, Sebastian, CAINES, Peter E.; « Convex analysis for LQG systems with applications to major–minor LQG mean–field game systems », Systems & Control Letters, vol. 142, 2020, p. 1-12.