On a best response problem arising in mean field stochastic growth games with common noise Article Swipe
This paper analyzes the best response control problem arising in mean field stochastic growth. We consider mean field games in the setting of stochastic growth where each player's capital stock is described by Cobb–Douglas production dynamics subject to stochastic depreciation and common noise. Each individual's utility functional consists of one's own utility and relative utility. Due to random mean field dynamics, the analysis of the best response relies on a stochastic Hamilton–Jacobi–Bellman (SHJB) equation, which in turn derives a special nonlinear backward stochastic differential equation (BSDE). We analyze the BSDE and use it to determine the solution equation system of the mean field game. Further, we extend the analysis to an AK model for the growth dynamics.
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Metadata
- Type
- article
- Language
- en
- Landing Page
- https://doi.org/10.1002/asjc.3340
- https://onlinelibrary.wiley.com/doi/pdfdirect/10.1002/asjc.3340
- OA Status
- bronze
- References
- 23
- Related Works
- 10
- OpenAlex ID
- https://openalex.org/W4391819610
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Raw OpenAlex JSON
- OpenAlex ID
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https://openalex.org/W4391819610Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.1002/asjc.3340Digital Object Identifier
- Title
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On a best response problem arising in mean field stochastic growth games with common noiseWork title
- Type
-
articleOpenAlex work type
- Language
-
enPrimary language
- Publication year
-
2024Year of publication
- Publication date
-
2024-02-13Full publication date if available
- Authors
-
Mengjie Zhou, Minyi HuangList of authors in order
- Landing page
-
https://doi.org/10.1002/asjc.3340Publisher landing page
- PDF URL
-
https://onlinelibrary.wiley.com/doi/pdfdirect/10.1002/asjc.3340Direct link to full text PDF
- Open access
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YesWhether a free full text is available
- OA status
-
bronzeOpen access status per OpenAlex
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https://onlinelibrary.wiley.com/doi/pdfdirect/10.1002/asjc.3340Direct OA link when available
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Noise (video), Field (mathematics), Computer science, Mathematics, Mathematical economics, Control theory (sociology), Artificial intelligence, Pure mathematics, Image (mathematics), Control (management)Top concepts (fields/topics) attached by OpenAlex
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0Total citation count in OpenAlex
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10Other works algorithmically related by OpenAlex
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