Mean Field Games
Published on 28. February 2022
Book
Paperback/Softback
284 pages
978-1-4704-5586-6 (ISBN)
Description
This volume is based on lectures delivered at the 2020 AMS Short Course ""Mean Field Games: Agent Based Models to Nash Equilibria,"" held January 13-14, 2020, in Denver, Colorado.
Mean field game theory offers a robust methodology for studying large systems of interacting rational agents. It has been extraordinarily successful and has continued to develop since its inception. The six chapters that make up this volume provide an overview of the subject, from the foundations of the theory to applications in economics and finance, including computational aspects.
The reader will find a pedagogical introduction to the main ingredients, from the forward-backward mean field game system to the master equation. Also included are two detailed chapters on the connection between finite games and mean field games, with a pedestrian description of the different methods available to solve the convergence problem. The volume concludes with two contributions on applications of mean field games and on existing numerical methods, with an opening to machine learning techniques.
Mean field game theory offers a robust methodology for studying large systems of interacting rational agents. It has been extraordinarily successful and has continued to develop since its inception. The six chapters that make up this volume provide an overview of the subject, from the foundations of the theory to applications in economics and finance, including computational aspects.
The reader will find a pedagogical introduction to the main ingredients, from the forward-backward mean field game system to the master equation. Also included are two detailed chapters on the connection between finite games and mean field games, with a pedestrian description of the different methods available to solve the convergence problem. The volume concludes with two contributions on applications of mean field games and on existing numerical methods, with an opening to machine learning techniques.
More details
Series
Language
English
Place of publication
Providence
United States
Target group
Professional and scholarly
Dimensions
Height: 254 mm
Width: 178 mm
Weight
527 gr
ISBN-13
978-1-4704-5586-6 (9781470455866)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Person
Francois Delarue, Universite Cote d'Azur, Nice, France.
Content
An overview of the theory of mean field games: R. P. Malhame and C. Graves, Mean Field Games: A paradigm for individual-mass interctions
F. Delarue, Mean field games and master equation
Connection with games with finitely many players: D. Lacker, The mean field game convergence problem
K. Ramanan, Refined convergence results for interacting diffusions and mean-field games
Applications and numerical methods: R. Carmona, Applications of Mean Field Games in financial engineering and economic theory
M. Lauriere, Numerical methods for mean field games and mean field type control
F. Delarue, Index
F. Delarue, Mean field games and master equation
Connection with games with finitely many players: D. Lacker, The mean field game convergence problem
K. Ramanan, Refined convergence results for interacting diffusions and mean-field games
Applications and numerical methods: R. Carmona, Applications of Mean Field Games in financial engineering and economic theory
M. Lauriere, Numerical methods for mean field games and mean field type control
F. Delarue, Index