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Some analytically solvable problems of the mean-field games theoryстатья Исследовательская статья
- Авторы: Nikulin Sergey I., Rozanova Olga S.
- Сборник: ArXiv.org.e-Print
- Серия: Series arxive "math"
- Том: 1904
- Год издания: 2019
- Издательство: Cornell University Press
- Местоположение издательства: United States
- Первая страница: 1911.09441
- Аннотация: We study the mean field games equations, consisting of the coupled Kolmogorov-Fokker-Planck and Hamilton-Jacobi-Bellman equations. The equations are complemented by initial and terminal conditions. It is shown that with some specific choice of data, this problem can be reduced to solving a quadratically nonlinear system of ODEs. This situation occurs naturally in economic applications. As an example, the problem of forming an investor's opinion on an asset is considered.
- Добавил в систему: Розанова Ольга Сергеевна