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Correlated Equilibria and Mean Field Games: A Simple Model

Author

Listed:
  • Luciano Campi

    (Department of Mathematics “Federigo Enriques,” University of Milan, 20133 Milan, Italy)

  • Markus Fischer

    (Department of Mathematics “Tullio Levi-Civita,” University of Padua, 35121 Padova, Italy)

Abstract

In the context of simple finite-state discrete time systems, we introduce a generalization of a mean field game solution, called a correlated solution, which can be seen as the mean field game analogue of a correlated equilibrium . Our notion of a solution is justified in two ways: we prove that correlated solutions arise as limits of exchangeable correlated equilibria in restricted (Markov open-loop) strategies for the underlying N -player games, and we show how to construct approximate N -player correlated equilibria starting from a correlated solution to the mean field game.

Suggested Citation

  • Luciano Campi & Markus Fischer, 2022. "Correlated Equilibria and Mean Field Games: A Simple Model," Mathematics of Operations Research, INFORMS, vol. 47(3), pages 2240-2259, August.
    • Handle: RePEc:inm:ormoor:v:47:y:2022:i:3:p:2240-2259
    DOI: 10.1287/moor.2021.1206
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