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Robust Mean Field Games

Author

Listed:
  • Dario Bauso

    (Università di Palermo)

  • Hamidou Tembine

    (Ecole Supérieure d’Electricité, Supelec)

  • Tamer Başar

    (University of Illinois at Urbana-Champaign)

Abstract

Recently there has been renewed interest in large-scale games in several research disciplines, with diverse application domains as in the smart grid, cloud computing, financial markets, biochemical reaction networks, transportation science, and molecular biology. Prior works have provided rich mathematical foundations and equilibrium concepts but relatively little in terms of robustness in the presence of uncertainties. In this paper, we study mean field games with uncertainty in both states and payoffs. We consider a population of players with individual states driven by a standard Brownian motion and a disturbance term. The contribution is threefold: First, we establish a mean field system for such robust games. Second, we apply the methodology to production of an exhaustible resource. Third, we show that the dimension of the mean field system can be significantly reduced by considering a functional of the first moment of the mean field process.

Suggested Citation

  • Dario Bauso & Hamidou Tembine & Tamer Başar, 2016. "Robust Mean Field Games," Dynamic Games and Applications, Springer, vol. 6(3), pages 277-303, September.
    • Handle: RePEc:spr:dyngam:v:6:y:2016:i:3:d:10.1007_s13235-015-0160-4
    DOI: 10.1007/s13235-015-0160-4
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    Cited by:

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    2. Jun Moon & Tamer Başar, 2019. "Risk-Sensitive Mean Field Games via the Stochastic Maximum Principle," Dynamic Games and Applications, Springer, vol. 9(4), pages 1100-1125, December.

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