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Microscopic Derivation of Mean Field Game Models

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  • Martin Frank
  • Michael Herty
  • Torsten Trimborn

Abstract

Mean field game theory studies the behavior of a large number of interacting individuals in a game theoretic setting and has received a lot of attention in the past decade (Lasry and Lions, Japanese journal of mathematics, 2007). In this work, we derive mean field game partial differential equation systems from deterministic microscopic agent dynamics. The dynamics are given by a particular class of ordinary differential equations, for which an optimal strategy can be computed (Bressan, Milan Journal of Mathematics, 2011). We use the concept of Nash equilibria and apply the dynamic programming principle to derive the mean field limit equations and we study the scaling behavior of the system as the number of agents tends to infinity and find several mean field game limits. Especially we avoid in our derivation the notion of measure derivatives. Novel scales are motivated by an example of an agent-based financial market model.

Suggested Citation

  • Martin Frank & Michael Herty & Torsten Trimborn, 2019. "Microscopic Derivation of Mean Field Game Models," Papers 1910.13534, arXiv.org.
    • Handle: RePEc:arx:papers:1910.13534
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    References listed on IDEAS

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    1. Jovanovic, Boyan & Rosenthal, Robert W., 1988. "Anonymous sequential games," Journal of Mathematical Economics, Elsevier, vol. 17(1), pages 77-87, February.
    2. Olivier Guéant & Pierre Louis Lions & Jean-Michel Lasry, 2011. "Mean Field Games and Applications," Post-Print hal-01393103, HAL.
    3. Levy, Haim & Levy, Moshe & Solomon, Sorin, 2000. "Microscopic Simulation of Financial Markets," Elsevier Monographs, Elsevier, edition 1, number 9780124458901.
    4. Torsten Trimborn & Lorenzo Pareschi & Martin Frank, 2017. "Portfolio Optimization and Model Predictive Control: A Kinetic Approach," Papers 1711.03291, arXiv.org, revised Feb 2019.
    5. P. Cardaliaguet, 2013. "Long Time Average of First Order Mean Field Games and Weak KAM Theory," Dynamic Games and Applications, Springer, vol. 3(4), pages 473-488, December.
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