Some analytically solvable problems of the mean-field games theory

Sergey I. Nikulin and Olga S. Rozanova

Papers from arXiv.org

Abstract: We study the mean field games equations, consisting of the coupled Kolmogorov-Fokker-Planck and Hamilton-Jacobi-Bellman equations. The equations are complemented by initial and terminal conditions. It is shown that with some specific choice of data, this problem can be reduced to solving a quadratically nonlinear system of ODEs. This situation occurs naturally in economic applications. As an example, the problem of forming an investor's opinion on an asset is considered.

Date: 2019-11
New Economics Papers: this item is included in nep-gth and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1911.09441

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