Variational Time-Fractional Mean Field Games

Qing Tang () and Fabio Camilli ()
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Qing Tang: China University of Geosciences (Wuhan)
Fabio Camilli: Università di Roma “La Sapienza”

Dynamic Games and Applications, 2020, vol. 10, issue 2, No 12, 573-588

Abstract: Abstract We consider the variational structure of a time-fractional second-order mean field games (MFG) system. The MFG system consists of time-fractional Fokker–Planck and Hamilton–Jacobi–Bellman equations. In such a situation, the individual agent follows a non-Markovian dynamics given by a subdiffusion process. Hence, the results of this paper extend the theory of variational MFG to the subdiffusive situation.

Keywords: Subdiffusion; Subordinator; Optimal control; Fractional Fokker–Planck equation; Fractional Hamilton–Jacobi–Bellman equation; Variational mean field games (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s13235-019-00330-2

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