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Article Dans Une Revue ESAIM: Control, Optimisation and Calculus of Variations Année : 2021

Discrete-time mean field games with risk-averse agents

Résumé

We propose and investigate a discrete-time mean field game model involving risk-averse agents. The model under study is a coupled system of dynamic programming equations with a Kolmogorov equation. The agents' risk aversion is modeled by composite risk measures. The existence of a solution to the coupled system is obtained with a fixed point approach. The corresponding feedback control allows to construct an approximate Nash equilibrium for a related dynamic game with finitely many players.
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Dates et versions

hal-02563949 , version 1 (05-05-2020)
hal-02563949 , version 2 (14-06-2021)

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Frédéric J Bonnans, Pierre Lavigne, Laurent Pfeiffer. Discrete-time mean field games with risk-averse agents. ESAIM: Control, Optimisation and Calculus of Variations, 2021, ⟨10.1051/cocv/2021044⟩. ⟨hal-02563949v2⟩
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