Mean field games with parametrized followers
File(s)17-1315_05_MS.pdf (492.71 KB)
Accepted version
Author(s)
Bensoussan, Alain
Cass, Thomas
Chau, Man Ho M
Yam, Phillip Sheung Chi
Type
Journal Article
Abstract
In this article, 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.
Date Issued
2020-01
Date Acceptance
2019-04-01
Citation
IEEE Transactions on Automatic Control, 2020, 65 (1), pp.12-27
ISSN
0018-9286
Publisher
Institute of Electrical and Electronics Engineers (IEEE)
Start Page
12
End Page
27
Journal / Book Title
IEEE Transactions on Automatic Control
Volume
65
Issue
1
Copyright Statement
© 2019 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
Sponsor
Engineering & Physical Science Research Council (EPSRC)
Grant Number
EP/M00516X/1
Subjects
Industrial Engineering & Automation
0906 Electrical and Electronic Engineering
0102 Applied Mathematics
0913 Mechanical Engineering
Publication Status
Published
Date Publish Online
2019-04-22