Discrete-time mean field games with risk-averse agents - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2020

Discrete-time mean field games with risk-averse agents

Résumé

We propose and investigate a discrete-time mean field game model involving risk-averse agents. The model under study is a coupled system of dynamic programming equations with a Kolmogorov equation. The agents' risk aversion is modeled by composite risk measures. The existence of a solution to the coupled system is obtained with a fixed point approach. The corresponding feedback control allows to construct an approximate Nash equilibrium for a related dynamic game with finitely many players.
Fichier principal
Vignette du fichier
riskmfg-preprint.pdf (374.47 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-02563949 , version 1 (05-05-2020)
hal-02563949 , version 2 (14-06-2021)

Identifiants

  • HAL Id : hal-02563949 , version 1

Citer

J Frédéric Bonnans, Pierre Lavigne, Laurent Pfeiffer. Discrete-time mean field games with risk-averse agents. 2020. ⟨hal-02563949v1⟩
191 Consultations
136 Téléchargements

Partager

More