A Probabilistic Approach to Extended Finite State Mean Field Games
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Publication:5000643
DOI10.1287/MOOR.2020.1071zbMATH Open1468.49043arXiv1808.07635OpenAlexW3135174634MaRDI QIDQ5000643FDOQ5000643
Publication date: 15 July 2021
Published in: Mathematics of Operations Research (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1808.07635
mean field gamesfinite state spaceapproximative Nash equilibriumMckean-Vlasov BSDEweak formulation of optimal control
Optimality conditions for problems involving randomness (49K45) Probabilistic games; gambling (91A60) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)
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- MF-OMO: An Optimization Formulation of Mean-Field Games
- Linear-quadratic extended mean field games with common noises
- Deep neural network solution for finite state mean field game with error estimation
- Optimal Incentives to Mitigate Epidemics: A Stackelberg Mean Field Game Approach
- Extended mean-field games
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