KTH Mathematics
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KTH Mathematics
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On the (in)efficiency of MFG equilibria
P Cardaliaguet, C Rainer arxiv.org/abs/1802.06637 Summary: An N-player game is considered,
J^i(a^1,\dots, a^N) = E\left[\int_0^T L(X_t^i, a^i_t, \mu^N_t)dt + G(X^i_T, \mu^N_T)\right]
where each player follows the dynamics
dX_t^i = a^i_tdt + \sqrt{2}dB_t^i, \quad X_0^i = x_0^i.
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Published by: Alexander Aurell Updated: 21-02-2018 |