Discrete-time mean field games with risk averse-agents
Optimization and Control
2020-12-29 v2
Abstract
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.
Cite
@article{arxiv.2005.02232,
title = {Discrete-time mean field games with risk averse-agents},
author = {J. Frédéric Bonnans and Pierre Lavigne and Laurent Pfeiffer},
journal= {arXiv preprint arXiv:2005.02232},
year = {2020}
}
Comments
26 pages