From infinity to one: The reduction of some mean field games to a global control problem
Guéant, Olivier (2011), From infinity to one: The reduction of some mean field games to a global control problem. https://basepub.dauphine.fr/handle/123456789/7389
TypeDocument de travail / Working paper
Series titleCahiers de la Chaire Finance et Développement Durable
MetadataShow full item record
Abstract (EN)This paper presents recent results from Mean Field Game theory underlying the introduction of common noise that imposes to incorporate the distribution of the agents as a state variable. Starting from the usual mean field games equations introduced in [11 , 12 , 13 ] and adapting them to games on graphs, we introduce a partial differential equation, often referred to as the Master equation (see ), from which the MFG equations can be deduced. Then, this Master equation can be reinterpreted using a global control problem inducing the same behaviors as in the non-cooperative initial mean field game.
Subjects / Keywordscontrol problem; PDE; Mean field games theory
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