IEEE Transactions on Automatic Control, Vol.65, No.1, 12-27, 2020
Mean Field Games With Parametrized Followers
We consider mean field games between a dominant leader and many followers, such that each follower is subject to a heterogeneous delay effect from the leader's action, who in turn can exercise governance on the population through this influence. The delay effects are assumed to be discretely distributed among the followers. Given regular enough coefficients, we describe a necessary condition for the existence of a solution for the equilibrium by a system of coupled forward-backward stochastic differential equations and stochastic partial differential equations. We provide a thorough study for the particular linear quadratic case. By adopting a functional approach, we obtain the time-independent sufficient condition, which warrants the unique existence of the solution of the whole mean field game problem. Several numerical illustrations with different time horizons and populations are demonstrated.
Keywords:Games;Sociology;Statistics;Stochastic processes;Delay effects;Differential equations;Delays;Delay systems;mean field games (MFGs);nonlinear system;stocashtic optimal control;stochastic systems