Author
Saldı, Naci, Basar, T., Raginsky, M.
Publication Date
2020-11
Publication Place
-
Informs
Subject
Mean-field games, Approximate Nash equilibrium, Risk-sensitive stochastic control
Type
Periodical
Language
English
Digital
Yes
Manuscript
No
Library
Özyeğin University
Library Asset ID
0364-765X
Record ID
ffc10673-1132-4e12-bb8a-118dfc1cb0d5
Library Location
Natural and Mathematical Sciences
Date
2020-11
Notes
TÜBİTAK ; Office of Naval Research ; United States Department of Defense Air Force Office of Scientific Research (AFOSR)
Sample Text
In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive optimality criterion. Risk sensitivity is introduced for each agent (player) via an exponential utility function. In this game model, each agent is coupled with the rest of the population through the empirical distribution of the states, which affects both the agent's individual cost and its state dynamics. Under mild assumptions, we establish the existence of a mean-field equilibrium in the infinite-population limit as the number of agents (N) goes to infinity, and we then show that the policy obtained from the mean-field equilibrium constitutes an approximate Nash equilibrium when N is sufficiently large.
DOI
10.1287/moor.2019.1044
Cilt
45
