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arXiv · 1812.06695

Semi-Explicit Solutions to some Non-Linear Non-Quadratic Mean-Field-Type Games: A Direct Method

Julian Barreiro-Gomez·Tyrone E. Duncan·Bozenna Pasik-Duncan·Hamidou Tembine
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Abstract

This article examines mean-field-type game problems by means of a direct method. We provide various solvable examples beyond the classical linear-quadratic game problems. These include quadratic-quadratic games and games with power, logarithmic, sine square, hyperbolic sine square payoffs. Non-linear state dynamics such as log-state, control-dependent regime switching, quadratic state, cotangent state and hyperbolic cotangent state are considered. We identify equilibrium strategies and equilibrium payoffs in state-and-conditional mean-field type feedback form. It is shown that a simple direct method can be used to solve broader classes of non-quadratic mean-field-type games under jump-diffusion-regime switching Gauss-Volterra processes which include fractional Brownian motions and multi-fractional Brownian motions. We provide semi-explicit solutions to the fully cooperative, noncooperative nonzero-sum, and adversarial game problems.

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Julian Barreiro-Gomez, Tyrone E. Duncan, Bozenna Pasik-Duncan, Hamidou Tembine. 2018-12-17. Semi-Explicit Solutions to some Non-Linear Non-Quadratic Mean-Field-Type Games: A Direct Method. https://arxiv.org/abs/1812.06695

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