An approximate Nash equilibrium for pure jump Markov games of mean-field-type on continuous state space

DOI10.1080/17442508.2017.1297812MaRDI QIDQ4584680zbMATH OpenOpenAlexFDO

Authors Rani Basna, Astrid Hilbert, Vassili Kolokoltsov

Publication date 4 September 2018

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.05073

zbMATH Keywords

optimal controlmean-field games\(\epsilon\)-Nash equilibriumpure jump Markov processdynamic programingKoopman dynamicsnon-linear Markov processes

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Games with infinitely many players (91A07) Stochastic games, stochastic differential games (91A15)

Abstract: We investigate mean-field games from the point of view of a large number of indistinguishable players which eventually converges to infinity. The players are weakly coupled via their empirical measure. The dynamics of the states of the individual players is governed by a non-autonomous pure jump type semi group in a Euclidean space, which is not necessarily smoothing. Investigations are conducted in the framework of non-linear Markov processes. We show that the individual optimal strategy results from a consistent coupling of an optimal control problem with a forward non-autonomous dynamics. In the limit as the number $N$ of players goes to infinity this leads to a jump-type analog of the well-known non-linear McKean-Vlasov dynamics. The case where one player has an individual preference different from the ones of the remaining players is also covered. The two results combined reveal an epsilon-Nash Equilibrium for the $N$-player games.

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Cited in

(9)

• \(\varepsilon\)-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps
• Mean-field-type games with jump and regime switching
• Equilibrium model of limit order books: a mean-field game view
• Approximating Nash equilibrium for optimal consumption in stochastic growth model with jumps
• Replicator based on imitation for finite and arbitrary networked communities
• Regularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like Processes
• RBDSDEs with jumps and optional Barrier and mean field game with common noise
• Total reward semi-Markov mean-field games with complementarity properties
• Control theory approach to continuous-time finite state mean field games

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