TY - JOUR
T1 - Mean Field Games with Parametrized Followers
AU - Bensoussan, Alain
AU - Cass, Thomas
AU - Chau, Man Ho Michael
AU - Yam, Sheung Chi Philip
PY - 2020/1
Y1 - 2020/1
N2 - We consider mean field games between a dominant leader and a large group of followers, such that each follower is subject to a heterogeneous delay effect from the action of the leader, who in turn can exercise governance on the population through this influence. We assume that the delay effects are discretely distributed among the followers. Given regular enough coefficients, we describe a necessary condition for the existence of a solution for the equilibrium by a system of coupled forward-backward stochastic differential equations and stochastic partial differential equations. We provide a thorough study for the particular Linear Quadratic case. By adopting a functional approach, we obtain the time-independent sufficient condition which warrants the unique existence of the solution of the whole mean field game problem. Several numerical illustrations with different time horizons and populations are demonstrated.
AB - We consider mean field games between a dominant leader and a large group of followers, such that each follower is subject to a heterogeneous delay effect from the action of the leader, who in turn can exercise governance on the population through this influence. We assume that the delay effects are discretely distributed among the followers. Given regular enough coefficients, we describe a necessary condition for the existence of a solution for the equilibrium by a system of coupled forward-backward stochastic differential equations and stochastic partial differential equations. We provide a thorough study for the particular Linear Quadratic case. By adopting a functional approach, we obtain the time-independent sufficient condition which warrants the unique existence of the solution of the whole mean field game problem. Several numerical illustrations with different time horizons and populations are demonstrated.
KW - Delay systems
KW - mean field games (MFGs)
KW - nonlinear system
KW - stocashtic optimal control
KW - stocashtic systems
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U2 - 10.1109/TAC.2019.2910945
DO - 10.1109/TAC.2019.2910945
M3 - 21_Publication in refereed journal
VL - 65
SP - 12
EP - 27
JO - IEEE Transactions on Automatic Control
JF - IEEE Transactions on Automatic Control
SN - 0018-9286
IS - 1
ER -