Discrete-time mean field games with risk-averse agents

J Frédéric Bonnans (1) , Pierre Lavigne (1) , Laurent Pfeiffer (1)

1 COMMANDS - Controle, Optimisation, modèles, Méthodes et Applications pour les Systèmes Dynamiques non linéaires

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.

Domaines: Mathématiques [math]; Optimisation et contrôle [math.OC]

J Frédéric Bonnans, Pierre Lavigne, Laurent Pfeiffer. Discrete-time mean field games with risk-averse agents. 2020. ⟨hal-02563949v1⟩