Linear-quadratic N-person and mean-field games: infinite horizon games with discounted cost and singular limits

DOI10.1007/S13235-014-0129-8zbMATH Open1348.91024arXiv1403.4090OpenAlexW2062240654MaRDI QIDQ747906FDOQ747906

Authors: Fabio S. Priuli 

Publication date: 19 October 2015

Published in: Dynamic Games and Applications (Search for Journal in Brave)

Abstract: We consider stochastic differential games with $N$ nearly identical players, linear-Gaussian dynamics, and infinite horizon discounted quadratic cost. Admissible controls are feedbacks for which the system is ergodic. We first study the existence of affine Nash equilibria by means of an associated system of $N$ Hamilton-Jacobi-Bellman and $N$ Kolmogorov-Fokker-Planck partial differential equations, proving that for small discount factors quadratic-Gaussian solutions exist and are unique. Then, we prove the convergence of such solutions to the unique quadratic-Gaussian solution of the pair of Mean Field equations. We also discuss some singular limits, such as vanishing noise, cheap control and vanishing discount.

Full work available at URL: https://arxiv.org/abs/1403.4090

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zbMATH Keywords

mean field gamesNash equilibrialinear-quadratic differential games

Mathematics Subject Classification ID

Noncooperative games (91A10) Differential games (aspects of game theory) (91A23) Linear-quadratic optimal control problems (49N10) (n)-person games, (n>2) (91A06) Games with infinitely many players (91A07) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cited In (14)

• PMP-based numerical solution for mean field game problem of general nonlinear system
• Linear-quadratic mean field games
• Infinite horizon linear quadratic Pareto game of the stochastic singular systems
• On a constrained infinite-time horizon linear quadratic game
• Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints
• Linear quadratic mean field games with a major player: the multi-scale approach
• Explicit solutions of some linear-quadratic mean field games
• Mean-field linear-quadratic stochastic differential games in an infinite horizon
• Mean field linear quadratic games with set up costs
• Linear-quadratic \(N\)-person and mean-field games with ergodic cost
• Discrete-time linear-quadratic mean-field-type repeated games: perfect, incomplete, and imperfect information
• Linear-quadratic McKean-Vlasov stochastic differential games
• Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
• Solvability of infinite horizon McKean-Vlasov FBSDEs in mean field control problems and games

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