Coarse correlated equilibria for continuous time mean field games in open loop strategies

arXiv2303.16728MaRDI QIDQ6509408FDOQ6509408

Authors: Luciano Campi, Federico Cannerozzi, Markus Fischer 

Abstract: In the framework of continuous time symmetric stochastic differential games in open loop strategies, we introduce a generalization of mean field game solution, called coarse correlated solution. This can be seen as the analogue of a coarse correlated equilibrium in the $N$-player game, where a moderator randomly generates a strategy profile and asks the players to pre-commit to such strategies before disclosing them privately to each one of them; such a profile is a coarse correlated equilibrium if no player has an incentive to unilaterally deviate. We justify our definition by showing that a coarse correlated solution for the mean field game induces a sequence of approximate coarse correlated equilibria with vanishing error for the underlying $N$-player games. Existence of coarse correlated solutions for the mean field game is proved by means of a minimax theorem. An example with explicit solutions is discussed as well.

This page was built for publication: Coarse correlated equilibria for continuous time mean field games in open loop strategies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6509408)