Stochastic games for fuel follower problem: N versus mean field game

DOI10.1137/17M1159531MaRDI QIDQ4625002zbMATH OpenFDO

Authors Xin Guo, Renyuan Xu

Publication date 20 February 2019

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

Full work available at URL https://arxiv.org/abs/1803.02925

zbMATH Keywords

fuel follower problemmean field gamessingular controlsSkorohkod problemstochastic gamesviscosity solution

Mathematics Subject Classification ID

(n)-person games, (n>2) (91A06) Games with infinitely many players (91A07) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20)

Abstract: In this paper we formulate and analyze an $N$-player stochastic game of the classical fuel follower problem and its Mean Field Game (MFG) counterpart. For the $N$-player game, we obtain the Nash Equilibrium (NE) explicitly by deriving and analyzing a system of Hamilton--Jacobi--Bellman (HJB) equations, and by establishing the existence of a unique strong solution to the associated Skorokhod problem on an unbounded polyhedron with an oblique reflection. For the MFG, we derive a bang-bang type NE under some mild technical conditions and by the viscosity solution approach. We also show that this solution is an $epsilon$-NE to the $N$-player game, with $epsilon=O(frac1sqrtN)$. The $N$-player game and the MFG differ in that the NE for the former is state dependent while the NE for the latter is threshold-type bang-bang policy where the threshold is state independent. Our analysis shows that the NE for a stationary MFG may not be the NE for the corresponding MFG.

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