A rank-based mean field game in the strong formulation

DOI10.1214/16-ECP24MaRDI QIDQ727853zbMATH OpenFDO

Authors Erhan Bayraktar, Yuchong Zhang

Publication date 21 December 2016

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.06312, https://projecteuclid.org/euclid.ecp/1476841494

zbMATH Keywords

common noisecompetitionmean field gamesnon-local interactionrank-dependent interactionstochastic differential equationsstrong formulation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) (n)-person games, (n>2) (91A06) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)

Abstract: We discuss a natural game of competition and solve the corresponding mean field game with emph{common noise} when agents' rewards are emph{rank dependent}. We use this solution to provide an approximate Nash equilibrium for the finite player game and obtain the rate of convergence.

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• Rate control under heavy traffic with strategic servers
• Itô's formula for flows of conditional measures on semimartingales
• Continuous-time persuasion by filtering
• A rank-based reward between a principal and a field of agents: application to energy savings
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