Linear quadratic mean field games: Asymptotic solvability and relation to the fixed point approach Article Swipe
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· 2019
· Open Access
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· DOI: https://doi.org/10.48550/arxiv.1903.08776
Mean field game theory has been developed largely following two routes. One of them, called the direct approach, starts by solving a large-scale game and next derives a set of limiting equations as the population size tends to infinity. The second route is to apply mean field approximations and formalize a fixed point problem by analyzing the best response of a representative player. This paper addresses the connection and difference of the two approaches in a linear quadratic (LQ) setting. We first introduce an asymptotic solvability notion for the direct approach, which means for all sufficiently large population sizes, the corresponding game has a set of feedback Nash strategies in addition to a mild regularity requirement. We provide a necessary and sufficient condition for asymptotic solvability and show that in this case the solution converges to a mean field limit. This is accomplished by developing a re-scaling method to derive a low dimensional ordinary differential equation (ODE) system, where a non-symmetric Riccati ODE has a central role. We next compare with the fixed point approach which determines a two point boundary value (TPBV) problem, and show that asymptotic solvability implies feasibility of the fixed point approach, but the converse is not true. We further address non-uniqueness in the fixed point approach and examine the long time behavior of the non-symmetric Riccati ODE in the asymptotic solvability problem.
Related Topics
- Type
- preprint
- Language
- en
- Landing Page
- http://arxiv.org/abs/1903.08776
- https://arxiv.org/pdf/1903.08776
- OA Status
- green
- Cited By
- 3
- References
- 50
- Related Works
- 10
- OpenAlex ID
- https://openalex.org/W2923270835
Raw OpenAlex JSON
- OpenAlex ID
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https://openalex.org/W2923270835Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.48550/arxiv.1903.08776Digital Object Identifier
- Title
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Linear quadratic mean field games: Asymptotic solvability and relation to the fixed point approachWork title
- Type
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preprintOpenAlex work type
- Language
-
enPrimary language
- Publication year
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2019Year of publication
- Publication date
-
2019-03-20Full publication date if available
- Authors
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Minyi Huang, Mengjie ZhouList of authors in order
- Landing page
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https://arxiv.org/abs/1903.08776Publisher landing page
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-
https://arxiv.org/pdf/1903.08776Direct link to full text PDF
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YesWhether a free full text is available
- OA status
-
greenOpen access status per OpenAlex
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https://arxiv.org/pdf/1903.08776Direct OA link when available
- Concepts
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Mathematics, Ode, Fixed point, Uniqueness, Applied mathematics, Ordinary differential equation, Mathematical analysis, Differential equationTop concepts (fields/topics) attached by OpenAlex
- Cited by
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3Total citation count in OpenAlex
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2025: 1, 2021: 1, 2019: 1Per-year citation counts (last 5 years)
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50Number of works referenced by this work
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10Other works algorithmically related by OpenAlex
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| abstract_inverted_index.formalize | 49 |
| abstract_inverted_index.infinity. | 38 |
| abstract_inverted_index.introduce | 82 |
| abstract_inverted_index.necessary | 119 |
| abstract_inverted_index.quadratic | 77 |
| abstract_inverted_index.approaches | 73 |
| abstract_inverted_index.asymptotic | 84, 124, 187, 224 |
| abstract_inverted_index.connection | 67 |
| abstract_inverted_index.determines | 176 |
| abstract_inverted_index.developing | 144 |
| abstract_inverted_index.difference | 69 |
| abstract_inverted_index.population | 34, 97 |
| abstract_inverted_index.re-scaling | 146 |
| abstract_inverted_index.regularity | 114 |
| abstract_inverted_index.strategies | 108 |
| abstract_inverted_index.sufficient | 121 |
| abstract_inverted_index.dimensional | 152 |
| abstract_inverted_index.feasibility | 190 |
| abstract_inverted_index.large-scale | 22 |
| abstract_inverted_index.solvability | 85, 125, 188, 225 |
| abstract_inverted_index.accomplished | 142 |
| abstract_inverted_index.differential | 154 |
| abstract_inverted_index.requirement. | 115 |
| abstract_inverted_index.sufficiently | 95 |
| abstract_inverted_index.corresponding | 100 |
| abstract_inverted_index.non-symmetric | 160, 219 |
| abstract_inverted_index.approximations | 47 |
| abstract_inverted_index.non-uniqueness | 205 |
| abstract_inverted_index.representative | 61 |
| cited_by_percentile_year | |
| countries_distinct_count | 1 |
| institutions_distinct_count | 2 |
| sustainable_development_goals[0].id | https://metadata.un.org/sdg/10 |
| sustainable_development_goals[0].score | 0.4699999988079071 |
| sustainable_development_goals[0].display_name | Reduced inequalities |
| citation_normalized_percentile |