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arXiv · 2005.02232

Discrete-time mean field games with risk averse-agents

J. Frédéric Bonnans·Pierre Lavigne·Laurent Pfeiffer
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Abstract

We propose and investigate a discrete-time mean field game model involving risk-averse agents. The model under study is a coupled system of dynamic programming equations with a Kolmogorov equation. The agents' risk aversion is modeled by composite risk measures. The existence of a solution to the coupled system is obtained with a fixed point approach. The corresponding feedback control allows to construct an approximate Nash equilibrium for a related dynamic game with finitely many players.

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J. Frédéric Bonnans, Pierre Lavigne, Laurent Pfeiffer. 2020-05-05. Discrete-time mean field games with risk averse-agents. https://arxiv.org/abs/2005.02232

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