Epsilon-Nash Mean Field Game Theory for Nonlinear Stochastic Dynamical Systems with Major and Minor Agents

@article{Nourian2013EpsilonNashMF,
  title={Epsilon-Nash Mean Field Game Theory for Nonlinear Stochastic Dynamical Systems with Major and Minor Agents},
  author={M. Nourian and P. Caines},
  journal={SIAM J. Control. Optim.},
  year={2013},
  volume={51},
  pages={3302-3331}
}
  • M. Nourian, P. Caines
  • Published 2013
  • Mathematics, Computer Science
  • SIAM J. Control. Optim.
  • This paper studies large population dynamic games involving nonlinear stochastic dynamical systems with agents of the following mixed types: (i) a major agent and (ii) a population of $N$ minor agents where $N$ is very large. The major and minor agents are coupled via both (i) their individual nonlinear stochastic dynamics and (ii) their individual finite time horizon nonlinear cost functions. This problem is analyzed by the so-called $\epsilon$-Nash mean field game theory. A distinct feature… CONTINUE READING
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