Mean Field Game with Delay: a Toy Model

MaRDI QIDQ6304155zbMATH OpenFDO

Authors Jean-Pierre Fouque, Zhaoyu Zhang

Publication date 12 July 2018

Mathematics Subject Classification ID

Stochastic processes (60G99) Stochastic games, stochastic differential games (91A15) Financial applications of other theories (91G80)

Abstract: We study a toy model of linear-quadratic mean field game with delay. We "lift" the delayed dynamic into an infinite dimensional space, and recast the mean field game system which is made of a forward Kolmogorov equation and a backward Hamilton-Jacobi-Bellman equation. We identify the corresponding master equation. A solution to this master equation is computed, and we show that it provides an approximation to a Nash equilibrium of the finite player game.

This page was built for publication: Mean Field Game with Delay: a Toy Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6304155)