A Probabilistic Approach to Extended Finite State Mean Field Games
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Abstract: We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our approach not only allows us to tackle the mean field of states and the mean field of control in the same time, but also extend the strategy set of players from Markov strategies to closed-loop strategies. We show the existence and uniqueness of Nash equilibrium for the mean field game, as well as how the equilibrium of mean field game consists of an approximative Nash equilibrium for the game with finite number of players under different assumptions of structure and regularity on the cost functions and transition rate between states.
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Cited in
(21)- Control theory approach to continuous-time finite state mean field games
- Non-asymptotic convergence rates for mean-field games: weak formulation and McKean-Vlasov BSDEs
- Linear quadratic extended mean field games and control problems
- Positional strategies in mean-field control problems on a finite state space
- Probabilistic approach to mean field games and mean field type control problems with multiple populations
- A myopic adjustment process for mean field games with finite state and action space
- Optimal incentives to mitigate epidemics: a Stackelberg mean field game approach
- Probabilistic approach to finite state mean field games
- Finite state graphon games with applications to epidemics
- Continuous-time mean field games with finite state space and common noise
- A probabilistic numerical method for a class of mean field games
- Stationary equilibria of mean field games with finite state and action space
- MF-OMO: An Optimization Formulation of Mean-Field Games
- Linear-quadratic extended mean field games with common noises
- Probabilistic analysis of mean-field games
- Long-run behavior and convergence of dynamic mean field equilibria
- Well-Posedness for Mean Field Games with Finite State and Action Space
- A probabilistic weak formulation of mean field games and applications
- Deep neural network solution for finite state mean field game with error estimation
- Extended mean field type control theory: a master equation approach with some applications
- Extended mean-field games
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