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Mean-field games with common noise based on nonlinear diffusion processesстатья
- Авторы: Kolokoltsov V.N., Troeva Marianna
- Сборник: AIP Conference Proceedings
- Том: 1907
- Год издания: 2017
- DOI: 10.1063/1.5012671
- Аннотация: The aim of the paper is to study of the mean field games with common noise. The MFG limit is specified by a single quasi-linear deterministic infinite-dimensional partial differential second order backward equation. We show that any its solution provides an 1/N-Nash equilibrium for the initial game of N agents. Our basic approach is based on interpreting the common noise as a kind of binary interaction of agents and then reducing the problem to the sensitivity analysis for McKean-Vlasov SPDE. © 2017 Author(s).
- Добавил в систему: Колокольцов Василий Никитич