A minimax approach to mean field games

DOI10.1070/SM2015V206N07ABEH004482MaRDI QIDQ3454660zbMATH OpenWikidataFDO

Authors Yuriĭ V. Averbukh

Publication date 26 November 2015

Published in Sbornik: Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.6627

zbMATH Keywords

differential game with infinitely many playersHamilton-Jacobi equationsmean field gamesminimax solutionNash equilibrium

Mathematics Subject Classification ID

Existence of solutions for minimax problems (49J35) Differential games and control (49N70) (n)-person games, (n>2) (91A06) Games with infinitely many players (91A07) Differential games (aspects of game theory) (91A23)

Abstract: The paper is devoted to the first-order mean field game system in the case when the distribution of players can contain atoms. The proposed definition of a generalized solution is based on the minimax approach to the Hamilton-Jacobi equation. We prove the existence of the generalized (minimax) solution of the mean filed game system using the Nash equilibrium in the auxiliary differential game with infinitely many identical players. We show that the minimax solution of the original system provide the $varepsilon$-Nash equilibrium in the differential game with finite number of players.

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Cited in

(10)

• Deterministic limit of mean field games associated with nonlinear Markov processes
• Extended mean-field games
• Mean field games with a dominating player
• A policy iteration method for mean field games
• Minimum distance estimators for dynamic games
• Minimax solutions of Hamilton-Jacobi equations with fractional coinvariant derivatives
• Viability analysis of the first-order mean field games
• Mean-Field Game Strategies for Optimal Execution
• Some remarks on mean field games
• Central schemes for mean field games

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