Partially Observed Discrete-Time Risk-Sensitive Mean Field Games

Naci Saldi (), Tamer Başar () and Maxim Raginsky ()
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Naci Saldi: Bilkent University
Tamer Başar: University of Illinois
Maxim Raginsky: University of Illinois

Dynamic Games and Applications, 2023, vol. 13, issue 3, No 10, 929-960

Abstract: Abstract In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce risk-sensitivity behavior for each agent via an exponential utility function. In the game model, each agent is weakly coupled with the rest of the population through its individual cost and state dynamics via the empirical distribution of states. We establish the mean-field equilibrium in the infinite-population limit using the technique of converting the underlying original partially observed stochastic control problem to a fully observed one on the belief space and the dynamic programming principle. Then, we show that the mean-field equilibrium policy, when adopted by each agent, forms an approximate Nash equilibrium for games with sufficiently many agents. We first consider finite-horizon cost function and then discuss extension of the result to infinite-horizon cost in the next-to-last section of the paper.

Keywords: Mean field games; Partial observation; Risk sensitive cost (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s13235-022-00453-z

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