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On correlated equilibria and mean field games

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Dipartimento di Matematica Guido Castelnuovo

ABSTRACT: Mean field games are limit models for symmetric N-player games, as the number of players N tends to infinity. The prelimit models are usually solved in terms of Nash equilibria. A generalization of the notion of Nash equilibrium, due to Robert Aumann (1974, 1987), is that of correlated equilibrium. In a simple discrete setting, we will discuss correlated equilibria for mean field games and their connection with the underlying N-player games. We first consider equilibria in restricted strategies (Markov open-loop), where control actions depend only on time and a player's own state. In this case, N-player correlated equilibria are seen to converge to the mean field game limit and, conversely, correlated mean field game solutions induce approximate N-player correlated equilibria. We then discuss the problem of constructing approximate equilibria when deviating players have access to the aggregate system state. We also give an explicit example of a correlated mean field game solution not of Nash-type. Results (with L. Campi and Federico Cannerozzi) on a related notion of equilibrium in a diffusion-type setting will be mentioned as well. Joint work with Ofelia Bonesini (Imperial College London) and Luciano Campi (University of Milan "La Statale")
Speaker ed affiliazione
Markus Fischer (Università di Padova )
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