Mean-field games with common noise based on nonlinear diffusion processesстатья
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Авторы:
Kolokoltsov V.N.,
Troeva Marianna
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Сборник:
AIP Conference Proceedings
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Том:
1907
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Год издания:
2017
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DOI:
10.1063/1.5012671
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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).
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Добавил в систему:
Колокольцов Василий Никитич