Uniqueness for Linear-Quadratic Mean Field Games with Common Noise

Rinel Foguen Tchuendom ()
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Rinel Foguen Tchuendom: University of Nice-Sophia Anitpolis

Dynamic Games and Applications, 2018, vol. 8, issue 1, No 10, 199-210

Abstract: Abstract The purpose of this note is to show that a common noise may restore uniqueness in mean field games. To this end, we focus on a class of examples driven by linear dynamics and quadratic cost functions. Given these linear-quadratic mean field games, we prove existence and uniqueness of solutions in the presence of common noise and construct a counter-example in the absence of common noise. This illustrates the principle, already observed in dynamical systems like ODEs, that introducing an appropriate noise may restore uniqueness.

Keywords: Mean field games; Common noise; Restoring uniqueness (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s13235-016-0200-8

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