基于排名的平均场博弈的强表述
概率论
2016-10-18 v3 最优化与控制
数理金融
摘要
我们讨论了一个自然的竞争博弈，并当参与者的奖励依赖于排名时，求解了带有共同噪声的相应平均场博弈。我们利用该解为有限参与者博弈提供了一个近似纳什均衡，并获得了收敛速率。
引用
@article{arxiv.1603.06312,
title = {A rank based mean field game in the strong formulation},
author = {Erhan Bayraktar and Yuchong Zhang},
journal= {arXiv preprint arXiv:1603.06312},
year = {2016}
}
备注
Final version. To appear in Electronic Communications in Probability. Keywords: Mean Field Games, competition/tournaments, common noise, rank dependent interaction, non-local interaction, strong formulation