In this talk we present a mean field games approach to the problem of a large population dynamic game involving nonlinear stochastic dynamical systems with agents of the following mixed types: (i) a major agent, and (ii) a population of
\(N\) minor agents where
\(N\) is very large. The major and minor agents are coupled via both: (i) their individual nonlinear stochastic dynamics, and (ii) their individual finite time horizon nonlinear cost functions.
This talk is based on the paper "
\(\epsilon\)-Nash Mean Field Game Theory for Nonlinear Stochastic Dynamical Systems with Major and Minor Agents'' submitted to SIAM J. Control Optim. in Aug. 2012 (available online in ArXive).