Linear-quadratic mean field games with a major player: Nash certainty equivalence versus master equations

DOI10.4310/CIS.2021.V21.N3.A6MaRDI QIDQ2048484zbMATH OpenFDO

Authors M. Y. Huang

Publication date 6 August 2021

Published in Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.13050

Mathematics Subject Classification ID

2-person games (91A05) Mean field games (aspects of game theory) (91A16)

Abstract: Mean field games with a major player were introduced in (Huang, 2010) within a linear-quadratic (LQ) modeling framework. Due to the rich structure of major-minor player models, the past ten years have seen significant research efforts for different solution notions and analytical techniques. For LQ models, we address the relation between three solution frameworks: the Nash certainty equivalence (NCE) approach in (Huang, 2010), master equations, and asymptotic solvability, which have been developed starting with different ideas. We establish their equivalence relationships.

Recommendations

• LQG mean field games with a major agent: Nash certainty equivalence versus probabilistic approach
• Linear quadratic mean field games with a major player: the multi-scale approach
• Large-population LQG games involving a major player: the Nash certainty equivalence principle
• A probabilistic approach to mean field games with major and minor players
• Backward-forward linear-quadratic mean-field games with major and minor agents

Cited in

(8)

• A Mean-Field Game of Market-Making against Strategic Traders
• Linear quadratic mean field games with a major player: the multi-scale approach
• Linear quadratic mean field games: decentralized \(O(1/N)\)-Nash equilibria
• Large-population LQG games involving a major player: the Nash certainty equivalence principle
• \(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications
• Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems
• LQG mean field games with a major agent: Nash certainty equivalence versus probabilistic approach
• Linear-quadratic mean field games of controls with non-monotone data

This page was built for publication: Linear-quadratic mean field games with a major player: Nash certainty equivalence versus master equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2048484)