Mean field difference games: McKean-Vlasov dynamics

H. Tembine, M. Huang

Research output: Chapter in Book/Report/Conference proceedingConference 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 languageEnglish (US)
Title of host publication2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
Pages1006-1011
Number of pages6
DOIs
StatePublished - 2011
Event2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011 - Orlando, FL, United States
Duration: Dec 12 2011Dec 15 2011

Publication series

NameProceedings of the IEEE Conference on Decision and Control
ISSN (Print)0191-2216

Other

Other2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
CountryUnited States
CityOrlando, FL
Period12/12/1112/15/11

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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  • 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). [6160875] (Proceedings of the IEEE Conference on Decision and Control). https://doi.org/10.1109/CDC.2011.6160875