A Probabilistic Approach to Extended Finite State Mean Field Games
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Publication:5000643
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
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- A myopic adjustment process for mean field games with finite state and action space
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- Deep neural network solution for finite state mean field game with error estimation
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- Positional strategies in mean-field control problems on a finite state space
- Continuous-time mean field games with finite state space and common noise
- Finite state graphon games with applications to epidemics
- A probabilistic numerical method for a class of mean field games
- Stationary equilibria of mean field games with finite state and action space
- Probabilistic analysis of mean-field games
- Linear-quadratic extended mean field games with common noises
- Control theory approach to continuous-time finite state mean field games
- MF-OMO: An Optimization Formulation of Mean-Field Games
- A probabilistic weak formulation of mean field games and applications
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