Mean field difference games: McKean-Vlasov dynamics

H. Tembine; M. Huang

doi:10.1109/CDC.2011.6160875

Mean field difference games: McKean-Vlasov dynamics

H. Tembine, M. Huang

Electrical Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

We study a class of mean field stochastic games in discrete time and continuous state space. Each player has its own individual state evolution described by a stochastic difference equation which depends not only on the control of the corresponding player but also on the states of the other players. Considering the specific structure of aggregate drift and diffusion terms, we use classical asymptotic indistinguishability properties to prove a mean field convergence in distribution. The methodology is extended to multiple classes of players, each class satisfying the asymptotic indistinguishability property, and a propagation of chaos result is obtained over the hull trajectory. Finally, we derive combined backward-forward equations that characterize the mean field equilibria for finite horizon problems.

Original language	English (US)
Title of host publication	2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	1006-1011
Number of pages	6
ISBN (Print)	9781612848006
DOIs	https://doi.org/10.1109/CDC.2011.6160875
State	Published - 2011
Event	2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011 - Orlando, FL, United States Duration: Dec 12 2011 → Dec 15 2011

Publication series

Name	Proceedings of the IEEE Conference on Decision and Control
ISSN (Print)	0743-1546
ISSN (Electronic)	2576-2370

Other

Other	2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
Country/Territory	United States
City	Orlando, FL
Period	12/12/11 → 12/15/11

ASJC Scopus subject areas

Control and Systems Engineering
Modeling and Simulation
Control and Optimization

Access to Document

10.1109/CDC.2011.6160875

Cite this

Tembine, H., & Huang, M. (2011). Mean field difference games: McKean-Vlasov dynamics. In 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011 (pp. 1006-1011). Article 6160875 (Proceedings of the IEEE Conference on Decision and Control). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CDC.2011.6160875

Mean field difference games: McKean-Vlasov dynamics. / Tembine, H.; Huang, M.
2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011. Institute of Electrical and Electronics Engineers Inc., 2011. p. 1006-1011 6160875 (Proceedings of the IEEE Conference on Decision and Control).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Tembine, H & Huang, M 2011, Mean field difference games: McKean-Vlasov dynamics. in 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011., 6160875, Proceedings of the IEEE Conference on Decision and Control, Institute of Electrical and Electronics Engineers Inc., pp. 1006-1011, 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011, Orlando, FL, United States, 12/12/11. https://doi.org/10.1109/CDC.2011.6160875

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Mean field difference games: McKean-Vlasov dynamics

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