Some remarks on mean field games

By Charles Bertucci, Jean-Michel Lasry, Pierre-Louis Lions. Communications in Partial Differential Equations, 2018

67 citations recorded by the source corpus.

Abstract In this article, we study three aspects of mean field games (MFG). The first one is the case when the dynamics of each player depend on the strategies of the other players. The second one concerns the modeling of “noise” in discrete space models and the formulation of the Master Equation in this case. Finally, we show how MFG reduce to agent based models when the intertemporal preference rate goes to infinity, i.e. when the anticipation of the players vanishes.

Subfields: Economics and Econometrics, Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/298be8e4023e22a3aaf39536b73903cf4c834e01

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Citations in the corpus

Mean field games master equations with nonseparable Hamiltonians and displacement monotonicity (2021, background): “A typical condition, extensively used in the literature [4, 10, 15, 17, 18, 19, 30], is the so-called LasryLions monotonicity condition.”
Finite state mean field games with Wright–Fisher common noise (2019, methodology): “Hence we assume below that: (Ω,A,P) is given as the tensorial product of two probability spaces (Ω0,A0,P0) and (Ω1,A1,P1): 16 Notice that, differently from [6], the map that sends the state of the system at time m onto the new state at time m+ 1 is intrinsically nonlinear.”