Mean-Field-Type Games with Jump and Regime Switching
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要In this article, we study mean-field-type games with jump–diffusion and regime switching in which the payoffs and the state dynamics depend not only on the state–action profile of the decision-makers but also on a measure of the state–action pair. The state dynamics is a measure-dependent process with jump–diffusion and regime switching. We derive novel equilibrium systems to be solved. Two solution approaches are presented: (i) dynamic programming principle and (ii) stochastic maximum principle. Relationship between dual function and adjoint processes are provided. It is shown that the extension to the risk-sensitive case generates a nonlinearity to the adjoint process and it involves three other processes associated with the diffusion, jump and regime switching, respectively.
出版社接受日期28.02.2019
著者Alain Bensoussan, Boualem Djehiche, Hamidou Tembine, Sheung Chi Phillip Yam
期刊名稱Dynamic Games and Applications
出版年份2020
月份3
卷號10
期次1
出版社Springer Verlag
出版地USA
頁次19 - 57
國際標準期刊號2153-0785
電子國際標準期刊號2153-0793
語言美式英語
關鍵詞Mean-field, McKean–Vlasov, Game theory

上次更新時間 2020-24-11 於 01:59