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2016

Finite State Mean Field Games with Major and Minor Players

Carmona, Rene, Wang, Peiqi

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The goal of the paper is to develop the theory of finite state mean field games with major and minor players when the state space of the game is finite.

We introduce the finite player games and derive a mean field game formulation in the limit when the number of minor players tends to infinity.
In this limit, we prove that the value functions of the optimization problems are viscosity solutions of PIDEs of the HJB type, and we construct the best responses for both types of players.
From there, we prove existence of Nash equilibria under reasonable assumptions.

Finite State Mean Field Games with Major and Minor Players · Around

Built on

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1991
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Lectures at the Collège de France. http://www.college-de-france.fr/default/EN/all/equ_der/cours_et_seminaires.htm, 2007-2008
P. Lions · 2008
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W. Fleming and M. Soner
2010
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M. Huang
2010
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O. Guéant
2011
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