Volume 27, 2021
Special issue in the honor of Enrique Zuazua's 60th birthday
|Number of page(s)||27|
|Published online||11 May 2021|
Discrete-time mean field games with risk-averse agents*
CMAP UMR 7641 and Inria, Ecole Polytechnique, route de Saclay,
Institut Polytechnique de Paris, France.
** Corresponding author: firstname.lastname@example.org
Accepted: 17 April 2021
We propose and investigate a discrete-time mean field game model involving risk-averse agents, each of them controlling a linear dynamical system. The model under study is a coupled system of dynamic programming equations with a Kolmogorov equation. The agents’ risk aversion is modeled by composite risk measures. The existence of a solution to the coupled system is obtained with a fixed point approach. The corresponding feedback control allows to construct an approximate Nash equilibrium for a related dynamic game with finitely many players.
Mathematics Subject Classification: 91A16 / 91A50 / 93E20 / 91B30
Key words: Risk measures / mean field games / approximate Nash equilibria / Cournot equilibria
© The authors. Published by EDP Sciences, SMAI 2021
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