| Issue |
ESAIM: COCV
Volume 27, 2021
Special issue in honor of Enrique Zuazua's 60th birthday
|
|
|---|---|---|
| Article Number | 44 | |
| Number of page(s) | 27 | |
| DOI | https://doi.org/10.1051/cocv/2021044 | |
| Published online | 11 May 2021 | |
Discrete-time mean field games with risk-averse agents*
CMAP UMR 7641 and Inria, Ecole Polytechnique, route de Saclay,
91128,
Palaiseau Cedex,
Institut Polytechnique de Paris, France.
** Corresponding author: frederic.bonnans@inria.fr
Received:
10
May
2020
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
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.