Mean field games with a dominating player

DOI10.1007/s00245-015-9309-1zbMath1348.49031arXiv1404.4148OpenAlexW1607455690MaRDI QIDQ315770

M. H. M. Chau, Sheung Chi Phillip Yam, Alain Bensoussan

Publication date: 23 September 2016

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.4148

zbMATH Keywords

optimal controlWasserstein metriclinear-quadratic problemseparation principlestochastic maximum principleadjoint equationmean field gamesBanach's fixed-point theoremdominating playerstochastic Hamilton-Jacobi-Bellman equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (30)

Linear-quadratic mean field games ⋮ A probabilistic approach to mean field games with major and minor players ⋮ Mean Field Game Theory with a Partially Observed Major Agent ⋮ Equilibrium price formation with a major player and its mean field limit ⋮ Mean Field Game Model for an Advertising Competition in a Duopoly ⋮ Mean-field games with a major player ⋮ Mean field models to regulate carbon emissions in electricity production ⋮ Linear quadratic mean field games with a major player: the multi-scale approach ⋮ Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints ⋮ Evolutionary, mean-field and pressure-resistance game modelling of networks security ⋮ An alternative approach to mean field game with major and minor players, and applications to herders impacts ⋮ Optimal social policies in mean field games ⋮ Discrete-time mean field partially observable controlled systems subject to common noise ⋮ Dynamic marketing policies with rating-sensitive consumers: a mean-field games approach ⋮ Relative performance evaluation for dynamic contracts in a large competitive market ⋮ Multiscale control of Stackelberg games ⋮ Linear-Quadratic Mean Field Stackelberg Games with State and Control Delays ⋮ A Mean Field Competition ⋮ A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time ⋮ Splitting methods and short time existence for the master equations in mean field games ⋮ Remarks on Nash equilibria in mean field game models with a major player ⋮ Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems ⋮ Linear quadratic mean field Stackelberg differential games ⋮ An introduction to mean field game theory ⋮ Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents ⋮ A dynamic collective choice model with an advertiser ⋮ Mean Field Games with Partial Observation ⋮ Social optima in leader-follower mean field linear quadratic control ⋮ Strategic advantages in mean field games with a major player ⋮ Mean Field Stackelberg Games: Aggregation of Delayed Instructions

Cites Work

• Unnamed Item
• Linear-quadratic mean field games
• Mean field games. I: The stationary case
• Mean field games. II: Finite horizon and optimal control
• Systems of Bellman equations to stochastic differential games with non-compact coupling
• Mean field games
• Forward-backward stochastic differential equations and their applications
• Stochastic games for \(N\) players
• Anticipated backward stochastic differential equations
• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• On diagonal elliptic and parabolic systems with super-quadratic Hamiltonians
• Probabilistic Analysis of Mean-Field Games
• $\epsilon$-Nash Mean Field Game Theory for Nonlinear Stochastic Dynamical Systems with Major and Minor Agents
• Large-Population LQG Games Involving a Major Player: The Nash Certainty Equivalence Principle
• Existence and Uniqueness of Solutions to Fokker–Planck Type Equations with Irregular Coefficients
• Stochastic Hamilton–Jacobi–Bellman Equations
• Linear-Quadratic-Gaussian Mixed Games with Continuum-Parametrized Minor Players
• Mean Field Games and Mean Field Type Control Theory

This page was built for publication: Mean field games with a dominating player