Mean-field games with a major player

Jean‐Michel Lasry · Pierre‐Louis Lions

41 citations0/0 files storedComptes Rendus Mathématique

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Game Theory and Applications

Abstract

We introduce and study mathematically a new class of mean-field-game systems of equations. This class of equations allows us to model situations involving one major player (or agent) and a “large” group of “small” players.

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2007Mean field games 1998Income and Wealth Heterogeneity in the Macroeconomy 2006Jeux à champ moyen. I – Le cas stationnaire 2006Jeux à champ moyen. II – Horizon fini et contrôle optimal 2018Probabilistic Theory of Mean Field Games with Applications I 2015Mean Field Games with a Dominating Player

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2019Linear quadratic mean field games with a major player: The multi-scale approach 2022Exploratory LQG mean field games with entropy regularization 2022Splitting methods and short time existence for the master equations in mean field games

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