-Nash mean field game theory for nonlinear stochastic dynamical systems with major and minor agents

DOI10.1137/120889496zbMATH Open1275.93067DBLPjournals/siamco/NourianC13arXiv1209.5684OpenAlexW2026814250WikidataQ60303773 ScholiaQ60303773MaRDI QIDQ2862471FDOQ2862471

Authors: Mojtaba Nourian, Peter E. Caines 

Publication date: 15 November 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: This paper studies a large population dynamic game involving nonlinear stochastic dynamical systems with agents of the following mixed types: (i) a major agent, and (ii) a population of $N$ minor agents where $N$ is very large. The major and minor (MM) agents are coupled via both: (i) their individual nonlinear stochastic dynamics, and (ii) their individual finite time horizon nonlinear cost functions. This problem is approached by the so-called $epsilon$-Nash Mean Field Game ($epsilon$-NMFG) theory. A distinct feature of the mixed agent MFG problem is that even asymptotically (as the population size $N$ approaches infinity) the noise process of the major agent causes random fluctuation of the mean field behaviour of the minor agents. To deal with this, the overall asymptotic ($Nightarrowinfty$) mean field game problem is decomposed into: (i) two non-standard stochastic optimal control problems with random coefficient processes which yield forward adapted stochastic best response control processes determined from the solution of (backward in time) stochastic Hamilton-Jacobi-Bellman (SHJB) equations, and (ii) two stochastic coefficient McKean-Vlasov (SMV) equations which characterize the state of the major agent and the measure determining the mean field behaviour of the minor agents. Existence and uniqueness of the solution to the Stochastic Mean Field Game (SMFG) system (SHJB and SMV equations) is established by a fixed point argument in the Wasserstein space of random probability measures. In the case that minor agents are coupled to the major agent only through their cost functions, the $epsilo{n}_N$-Nash equilibrium property of the SMFG best responses is shown for a finite $N$ population system where $epsilo{n}_N=O(1/sqrtN)$.

Full work available at URL: https://arxiv.org/abs/1209.5684

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zbMATH Keywords

decentralized controlmean field gamesstochastic optimal controlNash equilibriastochastic dynamic gamesmixed agentsstochastic Hamilton-Jacobi-Bellman (SHJB) equationstochastic McKean-Vlasov (SMV) equation

Mathematics Subject Classification ID

Noncooperative games (91A10) Differential games (aspects of game theory) (91A23) Dynamic games (91A25) Decentralized systems (93A14) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

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