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Mean Field Game with Delay: a Toy Model. (arXiv:1807.04795v1 [math.PR])
来源于:arXiv
We study a toy model of linear-quadratic mean field game with delay. We
"lift" the delayed dynamic into an infinite dimensional space, and recast the
mean field game system which is made of a forward Kolmogorov equation and a
backward Hamilton-Jacobi-Bellman equation. We identify the corresponding master
equation. A solution to this master equation is computed, and we show that it
provides an approximation to a Nash equilibrium of the finite player game. 查看全文>>