Entropic optimal planning for path-dependent mean field games
Ren, Zhenjie; Tan, Xiaolu; Touzi, Nizar; Yang, Junjian (2022), Entropic optimal planning for path-dependent mean field games. https://basepub.dauphine.psl.eu/handle/123456789/23741
TypeDocument de travail / Working paper
Series titleCahier de recherche CEREMADE, Université Paris Dauphine-PSL
MetadataShow full item record
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Department of Mathematics [CUHK]
Centre de Mathématiques Appliquées - Ecole Polytechnique [CMAP]
Analyse d’interactions stochastiques intelligentes et coopératives [ASCII]
Fakultät für Mathematik und Geoinformation [Wien] [TU Wien]
Abstract (EN)In the context of mean field games, with possible control of the diffusion coefficient, we consider a path-dependent version of the planning problem introduced by P.L. Lions: given a pair of marginal distributions (μ0,μ1), find a specification of the game problem starting from the initial distribution μ0, and inducing the target distribution μ1 at the mean field game equilibrium. Our main result reduces the path-dependent planning problem into an embedding problem, that is, constructing a McKean-Vlasov dynamics with given marginals (μ0,μ1). Some sufficient conditions on (μ0,μ1) are provided to guarantee the existence of solutions. We also characterize, up to integrability, the minimum entropy solution of the planning problem. In particular, as uniqueness does not hold anymore in our path-dependent setting, one can naturally introduce an optimal planning problem which would be reduced to an optimal transport problem along with controlled McKean-Vlasov dynamics.
Subjects / KeywordsMean field games; planning problem; McKean-Vlasov dynamic; optimal transport
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