Robust Mean Field Games

Dario Bauso (), Hamidou Tembine () and Tamer Başar ()
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Dario Bauso: Università di Palermo
Hamidou Tembine: Ecole Supérieure d’Electricité, Supelec
Tamer Başar: University of Illinois at Urbana-Champaign

Dynamic Games and Applications, 2016, vol. 6, issue 3, No 2, 277-303

Abstract: Abstract Recently there has been renewed interest in large-scale games in several research disciplines, with diverse application domains as in the smart grid, cloud computing, financial markets, biochemical reaction networks, transportation science, and molecular biology. Prior works have provided rich mathematical foundations and equilibrium concepts but relatively little in terms of robustness in the presence of uncertainties. In this paper, we study mean field games with uncertainty in both states and payoffs. We consider a population of players with individual states driven by a standard Brownian motion and a disturbance term. The contribution is threefold: First, we establish a mean field system for such robust games. Second, we apply the methodology to production of an exhaustible resource. Third, we show that the dimension of the mean field system can be significantly reduced by considering a functional of the first moment of the mean field process.

Keywords: Mean field games; Differential games; Optimal control (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s13235-015-0160-4

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