Linear-Quadratic Mean Field Games with a Major Player: Nash certainty equivalence versus master equations

2020/09/28 by Minyi Huang, Huang, Minyi · 1 citation
Economics, Econometrics and Finance · Decision Sciences · #Stochastic processes and financial applications #Game Theory and Applications #Economic theories and models

paper · pdf · doi:10.48550/arxiv.2009.13050

Abstract

Mean field games with a major player were introduced in (Huang, 2010) within a linear-quadratic (LQ) modeling framework. Due to the rich structure of major-minor player models, the past ten years have seen significant research efforts for different solution notions and analytical techniques. For LQ models, we address the relation between three solution frameworks: the Nash certainty equivalence (NCE) approach in (Huang, 2010), master equations, and asymptotic solvability, which have been developed starting with different ideas. We establish their equivalence relationships.

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