Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155432 | Stochastic Processes and their Applications | 2015 | 39 Pages |
Abstract
Mean field games are studied in the framework of controlled martingale problems, and general existence theorems are proven in which the equilibrium control is Markovian. The framework is flexible enough to include degenerate volatility, which may depend on both the control and the mean field. The objectives need not be strictly convex, and the mean field interactions considered are nonlocal and Wasserstein-continuous. When the volatility is nondegenerate, continuity assumptions may be weakened considerably. The proofs first use relaxed controls to establish existence. Then, using a convexity assumption and measurable selection arguments, strict (non-relaxed) Markovian equilibria are constructed from relaxed equilibria.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Daniel Lacker,