Optimal Social Policies in Mean Field Games

• Published in: Applied mathematics & optimization Vol. 76; no. 1; pp. 29 - 57
• Main Author: Nuño, Galo
• Format: Journal Article
• Language: English
• Published: New York Springer US 01.08.2017; Springer Nature B.V
• Subjects: Calculus of Variations and Optimal Control; Optimization; Continuity (mathematics); Control; Economic models; Games; Mathematical and Computational Physics; Mathematical Methods in Physics; Mathematics; Mathematics and Statistics; Numerical and Computational Physics; Optimization; Simulation; Social policy; Systems Theory; Theoretical; Time-inconsistency; Mean field games; Stackelberg solution; Gateaux derivative; Mean field control

This paper analyzes problems in which a large benevolent player, controlling a set of policy variables, maximizes aggregate welfare in a continuous-time economy populated by atomistic agents subject to idiosyncratic shocks. We first provide as a benchmark the social optimum solution, in which a plan...