differential gamesHamilton-Jacobi equationsmean-field gamesdeterministic controlrandom variables methods
Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Games with infinitely many players (91A07) Stochastic games, stochastic differential games (91A15)
Abstract: In this paper, we consider mean-field games where the interaction of each player with the mean-field takes into account not only the states of the players but also their collective behavior, To do so, we develop a random variable framework that is particularly convenient for these problems. We prove an existence result for extended mean-field games and establish uniqueness conditions. In the last section, we consider the Master Equation and discuss properties of its solutions.
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