Control of McKean-Vlasov dynamics versus mean field games
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Publication:356473
DOI10.1007/S11579-012-0089-YzbMATH Open1269.91012arXiv1210.5771OpenAlexW2048138547MaRDI QIDQ356473FDOQ356473
François Delarue, Aimé Lachapelle, René Carmona
Publication date: 25 July 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Abstract: We discuss and compare two methods of investigations for the asymptotic regime of stochastic differential games with a finite number of players as the number of players tends to the infinity. These two methods differ in the order in which optimization and passage to the limit are performed. When optimizing first, the asymptotic problem is usually referred to as a mean-field game. Otherwise, it reads as an optimization problem over controlled dynamics of McKean-Vlasov type. Both problems lead to the analysis of forward-backward stochastic differential equations, the coefficients of which depend on the marginal distributions of the solutions. We explain the difference between the nature and solutions to the two approaches by investigating the corresponding forward-backward systems. General results are stated and specific examples are treated, especially when cost functionals are of linear-quadratic type.
Full work available at URL: https://arxiv.org/abs/1210.5771
Recommendations
mean-field gameforward-backward stochastic differential equationscap-and-trade modelcontrolled McKean-Vlasov stochastic differential equationslinear-quadratic
Noncooperative games (91A10) Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-partial differential equations (45K05) Ordinary differential equations and systems with randomness (34F05) Stochastic games, stochastic differential games (91A15)
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