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Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations

Author

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  • Masaaki Fujii

    (Faculty of Economics, The University of Tokyo)

Abstract

In this work, we systematically investigate mean field games and mean field type control problems with multiple populations. We study the mean field limits of the three different situations; (i) every agent is non-cooperative; (ii) the agents within each population are cooperative; and (iii) the agents in some populations are cooperative. We provide several sets of sufficient conditions for the existence of a mean field equilibrium for each case. We also show that, under appropriate conditions, each mean field solution actually provides an approximate Nash equilibrium for the corresponding game with a large but finite number of agents.

Suggested Citation

  • Masaaki Fujii, 2019. "Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations," CIRJE F-Series CIRJE-F-1133, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2019cf1133
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2019/2019cf1133.pdf
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    References listed on IDEAS

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    1. Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2017. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs," Papers 1710.07030, arXiv.org, revised Mar 2019.
    2. Fujii, Masaaki & Takahashi, Akihiko, 2018. "Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 2083-2130.
    3. 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.
    4. Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2019. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 391-408, September.
    5. Morlais, Marie-Amelie, 2010. "A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 1966-1995, September.
    6. Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2019. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs (Forthcoming in Asia-Pacific Financial Markets)," CARF F-Series CARF-F-456, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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    Cited by:

    1. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," CARF F-Series CARF-F-509, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Masaaki Fujii & Akihiko Takahashi, 2021. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CARF F-Series CARF-F-521, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. Masaaki Fujii & Akihiko Takahashi, 2021. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CIRJE F-Series CIRJE-F-1177, CIRJE, Faculty of Economics, University of Tokyo.
    4. Masaaki Fujii & Akihiko Takahashi, 2020. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," Papers 2003.03035, arXiv.org, revised Sep 2021.
    5. Guofang Wang & Ziming Li & Wang Yao & Sikai Xia, 2022. "A Multi-Population Mean-Field Game Approach for Large-Scale Agents Cooperative Attack-Defense Evolution in High-Dimensional Environments," Mathematics, MDPI, vol. 10(21), pages 1-18, November.
    6. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CARF F-Series CARF-F-495, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    7. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CIRJE F-Series CIRJE-F-1156, CIRJE, Faculty of Economics, University of Tokyo.
    8. Xiang Yu & Yuchong Zhang & Zhou Zhou, 2020. "Teamwise Mean Field Competitions," Papers 2006.14472, arXiv.org, revised May 2021.
    9. Masaaki Fujii & Akihiko Takahashi, 2021. "Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium," CIRJE F-Series CIRJE-F-1180, CIRJE, Faculty of Economics, University of Tokyo.
    10. Masaaki Fujii & Akihiko Takahashi, 2020. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CARF F-Series CARF-F-473, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    11. Masaaki Fujii & Akihiko Takahashi, 2022. "Equilibrium Price Formation with a Major Player and its Mean Field Limit (Forthcoming in ESAIM: Control, Optimization and Calculus of Variations)(Revised version of CARF-F-509)," CARF F-Series CARF-F-533, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    12. Masaaki Fujii & Akihiko Takahashi, 2020. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CIRJE F-Series CIRJE-F-1144, CIRJE, Faculty of Economics, University of Tokyo.
    13. Masaaki Fujii & Akihiko Takahashi, 2021. "``Equilibrium Price Formation with a Major Player and its Mean Field Limit''," CIRJE F-Series CIRJE-F-1162, CIRJE, Faculty of Economics, University of Tokyo.
    14. David Evangelista & Yuri Thamsten, 2023. "Approximately optimal trade execution strategies under fast mean-reversion," Papers 2307.07024, arXiv.org, revised Aug 2023.
    15. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," Papers 2102.10756, arXiv.org, revised Feb 2022.
    16. Masaaki Fujii & Akihiko Takahashi, 2020. "Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium," Papers 2010.09186, arXiv.org, revised Dec 2021.

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