On quasi-stationary mean field games models
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Publication:2187325
\(N\)-person gameslong time behaviormean field gamesmyopic equilibriumNash equilibrianonlinear coupled PDE systemsquasi-stationary modelsself-organization
Existence problems for PDEs: global existence, local existence, non-existence (35A01) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Asymptotic behavior of solutions to PDEs (35B40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Differential games and control (49N70) (n)-person games, (n>2) (91A06) Stochastic games, stochastic differential games (91A15)
Abstract: We explore a mechanism of decision-making in Mean Field Games with myopic players. At each instant, agents set a strategy which optimizes their expected future cost by assuming their environment as immutable. As the system evolves, the players observe the evolution of the system and adapt to their new environment without anticipating. With a specific cost structures, these models give rise to coupled systems of partial differential equations of quasi-stationary nature. We provide sufficient conditions for the existence and uniqueness of classical solutions for these systems, and give a rigorous derivation of these systems from N-players stochastic differential games models. Finally, we show that the population can self-organize and converge exponentially fast to the ergodic Mean Field Games equilibrium, if the initial distribution is sufficiently close to it and the Hamiltonian is quadratic.
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Cited in
(11)- Essential stationary equilibria of mean field games with finite state and action space
- On quasi-stationary Mean Field Games of Controls
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