Mean-Field-Type Games with Jump and Regime Switching
In this article, we study mean-field-type games with jump–diffusion and regime switching in which the payoffs and the state dynamics depend not only on the state–action profile of the decision-makers but also on a measure of the state–action pair. The state dynamics is a measure-dependent process wi...
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Published in | Dynamic games and applications Vol. 10; no. 1; pp. 19 - 57 |
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Main Authors | , , , |
Format | Journal Article |
Language | English |
Published |
New York
Springer US
01.03.2020
Springer Nature B.V |
Subjects | |
Online Access | Get full text |
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Summary: | In this article, we study mean-field-type games with jump–diffusion and regime switching in which the payoffs and the state dynamics depend not only on the state–action profile of the decision-makers but also on a measure of the state–action pair. The state dynamics is a measure-dependent process with jump–diffusion and regime switching. We derive novel equilibrium systems to be solved. Two solution approaches are presented: (i) dynamic programming principle and (ii) stochastic maximum principle. Relationship between dual function and adjoint processes are provided. It is shown that the extension to the risk-sensitive case generates a nonlinearity to the adjoint process and it involves three other processes associated with the diffusion, jump and regime switching, respectively. |
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ISSN: | 2153-0785 2153-0793 2153-0793 |
DOI: | 10.1007/s13235-019-00306-2 |