KAUST DepartmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Center for Uncertainty Quantification in Computational Science and Engineering (SRI-UQ)
Applied Mathematics and Computational Science Program
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AbstractThe mean-field framework was developed to study systems with an infinite number of rational agents in competition, which arise naturally in many applications. The systematic study of these problems was started, in the mathematical community by Lasry and Lions, and independently around the same time in the engineering community by P. Caines, Minyi Huang, and Roland Malhamé. Since these seminal contributions, the research in mean-field games has grown exponentially, and in this paper we present a brief survey of mean-field models as well as recent results and techniques. In the first part of this paper, we study reduced mean-field games, that is, mean-field games, which are written as a system of a Hamilton-Jacobi equation and a transport or Fokker-Planck equation. We start by the derivation of the models and by describing some of the existence results available in the literature. Then we discuss the uniqueness of a solution and propose a definition of relaxed solution for mean-field games that allows to establish uniqueness under minimal regularity hypothesis. A special class of mean-field games that we discuss in some detail is equivalent to the Euler-Lagrange equation of suitable functionals. We present in detail various additional examples, including extensions to population dynamics models. This section ends with a brief overview of the random variables point of view as well as some applications to extended mean-field games models. These extended models arise in problems where the costs incurred by the agents depend not only on the distribution of the other agents, but also on their actions. The second part of the paper concerns mean-field games in master form. These mean-field games can be modeled as a partial differential equation in an infinite dimensional space. We discuss both deterministic models as well as problems where the agents are correlated. We end the paper with a mean-field model for price impact. © 2013 Springer Science+Business Media New York.
SponsorsD. Gomes was partially supported by CAMGSD-LARSys through FCT-Portugal and by grants PTDC/MAT/114397/2009, UTAustin/MAT/0057/2008, and UTA-CMU/MAT/0007/2009.
PublisherSpringer Science + Business Media
JournalDynamic Games and Applications