By René Carmona
Appears in collections : Research School, CEMRACS - Summer school: Numerical methods for stochastic models: control, uncertainty quantification, mean-field / CEMRACS - École d'été : Méthodes numériques pour équations stochastiques : contrôle, incertitude, champ moyen
We introduce a new strategy for the solution of Mean Field Games in the presence of major and minor players. This approach is based on a formulation of the fixed point step in spaces of controls. We use it to highlight the differences between open and closed loop problems. We illustrate the implementation of this approach for linear quadratic and finite state space games, and we provide numerical results motivated by applications in biology and cyber-security.
By Hubert Lacoin
By Benoît Dagallier
