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Selection of equilibria in a linear quadratic mean-field game

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  • Delarue, François
  • Foguen Tchuendom, Rinel

Abstract

In this paper, we address an instance of uniquely solvable mean-field game with a common noise whose corresponding counterpart without common noise has several equilibria. We study the selection problem for this mean-field game without common noise via three approaches.

Suggested Citation

  • Delarue, François & Foguen Tchuendom, Rinel, 2020. "Selection of equilibria in a linear quadratic mean-field game," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 1000-1040.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:2:p:1000-1040
    DOI: 10.1016/j.spa.2019.04.005
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    References listed on IDEAS

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    1. Rinel Foguen Tchuendom, 2018. "Uniqueness for Linear-Quadratic Mean Field Games with Common Noise," Dynamic Games and Applications, Springer, vol. 8(1), pages 199-210, March.
    2. Delarue, François, 2002. "On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case," Stochastic Processes and their Applications, Elsevier, vol. 99(2), pages 209-286, June.
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    Cited by:

    1. Dianetti, Jodi & Ferrari, Giorgio & Fischer, Markus & Nendel, Max, 2022. "A Unifying Framework for Submodular Mean Field Games," Center for Mathematical Economics Working Papers 661, Center for Mathematical Economics, Bielefeld University.
    2. Dianetti, Jodi, 2023. "Strong Solutions to Submodular Mean Field Games with Common Noise and Related McKean-Vlasov FBSDES," Center for Mathematical Economics Working Papers 674, Center for Mathematical Economics, Bielefeld University.

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