On non-uniqueness in mean field games
Probability
2020-03-18 v2 Optimization and Control
Mathematical Finance
Abstract
We analyze an -player game and the corresponding mean field game with state space . The transition rate of -th player is the sum of his control plus a minimum jumping rate . Instead of working under monotonicity conditions, here we consider an anti-monotone running cost. We show that the mean field game equation may have multiple solutions if . We also prove that that although multiple solutions exist, only the one coming from the entropy solution is charged (when ), and therefore resolve a conjecture of ArXiv: 1903.05788.
Cite
@article{arxiv.1908.06207,
title = {On non-uniqueness in mean field games},
author = {Erhan Bayraktar and Xin Zhang},
journal= {arXiv preprint arXiv:1908.06207},
year = {2020}
}
Comments
To appear in the Proceedings of the AMS. Keywords: Mean field game, Entropy solution, master equation, Nash equilibrium, Non-uniqueness