Approximating Nash Equilibrium for Production Control with Sticky Price

DOI10.1016/J.ORL.2022.04.006MaRDI QIDQ6395929arXivFDO

Authors Chunmei Jiang, Tong Qing Li, Jie Yu

Publication date 7 April 2022

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.ORL.2022.04.006

Mathematics Subject Classification ID

Mean field games and control (49N80) Production models (90B30) Mean field games (aspects of game theory) (91A16) Applications of game theory (91A80) Production theory, theory of the firm (91B38) Optimal stochastic control (93E20)

arXiv classification

math.OC

Abstract: We study a mean field game problem arising from the production control for multiple firms with price stickiness in the commodity market. The price dynamics for each firm is described as a (controlled) jump-diffusion process with mean-field interaction. Each firm aims to maximize her expectation of cumulative net profit coupled with each other through price processes. By solving the limiting control problem and a fixed-point problem, we construct an explicit approximating Nash equilibrium when the number of firms grows large.

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