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Discrete-time mean field games with risk-averse agents

Frédéric Bonnans 1 Pierre Lavigne 1 Laurent Pfeiffer 1
1 COMMANDS - Controle, Optimisation, modèles, Méthodes et Applications pour les Systèmes Dynamiques non linéaires
CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique, Inria Saclay - Ile de France
Abstract : We propose and investigate a discrete-time mean field game model involving risk-averse agents. The model under study is a coupled system of dynamic programming equations with a Kolmogorov equation. The agents' risk aversion is modeled by composite risk measures. The existence of a solution to the coupled system is obtained with a fixed point approach. The corresponding feedback control allows to construct an approximate Nash equilibrium for a related dynamic game with finitely many players.
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https://hal.archives-ouvertes.fr/hal-02563949
Contributor : Pierre Lavigne <>
Submitted on : Monday, June 14, 2021 - 4:16:52 PM
Last modification on : Wednesday, June 16, 2021 - 3:39:59 AM

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  • HAL Id : hal-02563949, version 2

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Frédéric Bonnans, Pierre Lavigne, Laurent Pfeiffer. Discrete-time mean field games with risk-averse agents. ESAIM: Control, Optimisation and Calculus of Variations, EDP Sciences, 2021. ⟨hal-02563949v2⟩

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