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- Publisher
- Springer Journals
- Copyright
- Copyright © 2015 by Springer Science+Business Media New York
- Subject
- Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics
- ISSN
- 0095-4616
- eISSN
- 1432-0606
- DOI
- 10.1007/s00245-015-9309-1
- Publisher site
- See Article on Publisher Site
Abstract
In this article, we consider mean field games between a dominating player and a group of representative agents, each of which acts similarly and also interacts with each other through a mean field term being substantially influenced by the dominating player. We first provide the general theory and discuss the necessary condition for the optimal controls and equilibrium condition by adopting adjoint equation approach. We then present a special case in the context of linear-quadratic framework, in which a necessary and sufficient condition can be asserted by stochastic maximum principle; we finally establish the sufficient condition that guarantees the unique existence of the equilibrium control. The proof of the convergence result of finite player game to mean field counterpart is provided in Appendix.
Journal
Applied Mathematics and Optimization – Springer Journals
Published: Jul 28, 2015