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AbstractMean-field games have been studied under the assumption of very large number of players. For such large systems, the basic idea consists of approximating large games by a stylized game model with a continuum of players. The approach has been shown to be useful in some applications. However, the stylized game model with continuum of decision-makers is rarely observed in practice and the approximation proposed in the asymptotic regime is meaningless for networks with few entities. In this paper, we propose a mean-field framework that is suitable not only for large systems but also for a small world with few number of entities. The applicability of the proposed framework is illustrated through various examples including dynamic auction with asymmetric valuation distributions, and spiteful bidders.
JournalIEEE Transactions on Cybernetics