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Mat. Teor. Igr Pril., 2013, Volume 5, Issue 4, Pages 33–65 (Mi mgta120)  

Mean field games based on the stable-like processes

Vassili N. Kolokoltsova, Marianna S. Troevab, Wei Yangc

a Department of Statistics, University of Warwick
b North-Eastern Federal University
c Department of Mathematics and Statistics, University of Strathclyde

Abstract: We investigate the mean field games of $N$ agents based on the nonlinear stable-like processes. The main result of the paper is in the statement that any solution of the limiting mean field consistency equation generates a $1/N$-Nash equilibrium for the approximating game of $N$ agents.

Keywords: stable-like processes, kinetic equation, forward-backward system, dynamic law of large numbers, rates of convergence, tagged particle, $\varepsilon$-Nash equilibrium.

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English version:
Automation and Remote Control, 2016, 77:11, 2044–2064

UDC: 519.217.8+519.833
BBK: 22.18

Citation: Vassili N. Kolokoltsov, Marianna S. Troeva, Wei Yang, “Mean field games based on the stable-like processes”, Mat. Teor. Igr Pril., 5:4 (2013), 33–65; Autom. Remote Control, 77:11 (2016), 2044–2064

Citation in format AMSBIB
\Bibitem{KolTroYan13}
\by Vassili~N.~Kolokoltsov, Marianna~S.~Troeva, Wei~Yang
\paper Mean field games based on the stable-like processes
\jour Mat. Teor. Igr Pril.
\yr 2013
\vol 5
\issue 4
\pages 33--65
\mathnet{http://mi.mathnet.ru/mgta120}
\transl
\jour Autom. Remote Control
\yr 2016
\vol 77
\issue 11
\pages 2044--2064
\crossref{https://doi.org/10.1134/S0005117916110138}


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