Linear Quadratic Mean Field Games: Asymptotic Solvability and Relation to the Fixed Point Approach

• Published in: IEEE transactions on automatic control Vol. 65; no. 4; pp. 1397 - 1412
• Main Authors: Huang, Minyi, Zhou, Mengjie
• Format: Journal Article
• Language: English
• Published: New York IEEE 01.04.2020; The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
• Subjects: Asymptotic properties; Asymptotic solvability; Boundary value problems; Differential equations; direct approach; Dynamic programming; fixed point approach; Fixed points (mathematics); Game theory; Games; linear quadratic; Mathematical model; mean field game; Optimal control; Ordinary differential equations; re-scaling; Riccati differential equation; Sociology; Statistics
• ISSN: 0018-9286; 1558-2523
• DOI: 10.1109/TAC.2019.2919111

Mean field game theory has been developed largely following two routes. One of them, called the direct approach, starts by solving a large-scale game and next derives a set of limiting equations as the population size tends to infinity. The second route is to apply mean field approximations and form...