Strategic advantages in mean field games with a major player

DOI10.5802/CRMATH.1zbMATH Open1445.91002OpenAlexW3006477002MaRDI QIDQ784342FDOQ784342

Authors Charles Bertucci, J.-M. Lasry, P.-L. Lions

Publication date 3 August 2020

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2002.07034

zbMATH Keywords

mean field gamesoptimal stoppingmajor playerstrategic advantage

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Games of timing (91A55) Mean field games (aspects of game theory) (91A16)

Abstract: This note is concerned with a modeling question arising from the mean field games theory. We show how to model mean field games involving a major player which has a strategic advantage, while only allowing closed loop markovian strategies for all the players. We illustrate this property through three examples.

Recommendations

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Cites work

• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• Mean field games
• Mean field games with a dominating player
• Mean-field games with a major player
• Optimal stopping in mean field games, an obstacle problem approach
• Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games
• Some remarks on mean field games

Cited in

(3)

• An introduction to mean field game theory
• Monotone solutions for mean field games master equations: finite state space and optimal stopping
• Stackelberg solution of first-order mean field game with a major player

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