Mean Field Equilibrium in Dynamic Games with Strategic Complementarities
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Publication:5166261
DOI10.1287/OPRE.2013.1192zbMATH Open1291.91031arXiv1011.5677OpenAlexW2145168954MaRDI QIDQ5166261FDOQ5166261
Publication date: 26 June 2014
Published in: Operations Research (Search for Journal in Brave)
Abstract: We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical distribution of the states of other players. Such games can be used to model a diverse set of applications, including network security models, recommender systems, and dynamic search in markets. Stochastic games are generally difficult to analyze, and these difficulties are only exacerbated when the number of players is large (as might be the case in the preceding examples). We consider an approximation methodology called mean field equilibrium to study these games. In such an equilibrium, each player reacts to only the long run average state of other players. We find necessary conditions for the existence of a mean field equilibrium in such games. Furthermore, as a simple consequence of this existence theorem, we obtain several natural monotonicity properties. We show that there exist a "largest" and a "smallest" equilibrium among all those where the equilibrium strategy used by a player is nondecreasing, and we also show that players converge to each of these equilibria via natural myopic learning dynamics; as we argue, these dynamics are more reasonable than the standard best response dynamics. We also provide sensitivity results, where we quantify how the equilibria of such games move in response to changes in parameters of the game (e.g., the introduction of incentives to players).
Full work available at URL: https://arxiv.org/abs/1011.5677
Stochastic games, stochastic differential games (91A15) Dynamic games (91A25) Heterogeneous agent models (91B69)
Cited In (21)
- Rare Nash Equilibria and the Price of Anarchy in Large Static Games
- Analysis of Markovian competitive situations using nonatomic games
- Markov distributional equilibrium dynamics in games with complementarities and no aggregate risk
- Dynamic games with strategic complements and large number of players
- Mean field games of timing and models for bank runs
- Dynamic pricing of new products in competitive markets: a mean-field game approach
- Network Games with Strategic Machine Learning
- Strategic complementarity in games
- Behavioral analytics for myopic agents
- Opinion dynamics and stubbornness via multi-population mean-field games
- A link between sequential semi-anonymous nonatomic games and their large finite counterparts
- On the Approximation Error of Mean-Field Models
- Equilibria of dynamic games with many players: existence, approximation, and market structure
- Multiple-population discrete-time mean field games with discounted and total payoffs: the existence of equilibria
- Discrete-time ergodic mean-field games with average reward on compact spaces
- Stationary anonymous sequential games with undiscounted rewards
- Stochastic Comparative Statics in Markov Decision Processes
- Submodular mean field games: existence and approximation of solutions
- Total reward semi-Markov mean-field games with complementarity properties
- Mean Field Equilibrium: Uniqueness, Existence, and Comparative Statics
- Strategic Arrivals into Queueing Networks: The Network Concert Queueing Game
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