Submodular Mean Field Games. Existence and Approximation of Solutions
Markus Fischer and
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Jodi Dianetti: Center for Mathematical Economics, Bielefeld University
Giorgio Ferrari: Center for Mathematical Economics, Bielefeld University
Markus Fischer: Center for Mathematical Economics, Bielefeld University
Max Nendel: Center for Mathematical Economics, Bielefeld University
No 621, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University
We study mean field games with scalar Itô-type dynamics and costs that are submodular with respect to a suitable order relation on the state and measure space. The submodularity assumption has a number of interesting consequences. Firstly, it allows us to prove existence of solutions via an application of Tarski's fixed point theorem, covering cases with discontinuous dependence on the measure variable. Secondly, it ensures that the set of solutions enjoys a lattice structure: in particular, there exist a minimal and a maximal solution. Thirdly, it guarantees that those two solutions can be obtained through a simple learning procedure based on the iterations of the best-response-map. The mean field game is first defined over ordinary stochastic controls, then extended to relaxed controls. Our approach allows also to treat a class of submodular mean field games with common noise in which the representative player at equilibrium interacts with the (conditional) mean of its state's distribution.
Keywords: Mean field games; submodular cost function; complete lattice; first order stochastic dominance; Tarski's fixed point theorem. (search for similar items in EconPapers)
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