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

DOI10.4310/CIS.2021.V21.N3.A6zbMATH Open1491.91020arXiv2009.13050MaRDI QIDQ2048484FDOQ2048484

Authors: M. Y. Huang 

Publication date: 6 August 2021

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

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.

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

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Mathematics Subject Classification ID

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

Cited In (8)

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• A Mean-Field Game of Market-Making against Strategic Traders
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