Abstract

In this paper, we study Mean Field Games with common noise based on nonlinear stable-like processes. The MFG limit is specified by a single quasi-linear deterministic infinite-dimensional partial differential second order backward equation. The main result is that any its solution provides an 1/N-Nash equilibrium for the initial game of N agents. Our approach is based on interpreting the common noise as a kind of binary interaction of agents and our previous results on regularity and sensitivity with respect to the initial conditions of the solution to the nonlinear stochastic differential equations of McKean-Vlasov type generated by stable-like processes.

Original languageEnglish
Pages (from-to)264-276
Number of pages13
JournalStatistics, Optimization and Information Computing
Volume7
Issue number2
DOIs
Publication statusPublished - 1 Jan 2019

Scopus subject areas

  • Signal Processing
  • Statistics and Probability
  • Information Systems
  • Computer Vision and Pattern Recognition
  • Statistics, Probability and Uncertainty
  • Control and Optimization
  • Artificial Intelligence

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