Group for Research in Decision Analysis

Mean Field Games and Applications

Wei Yang University of Strathclyde Glasgow, United Kingdom

In a system of large number interacting agents who may have competitive or common interests, the complexity of the analysis can become immense as the number of agents \(N\) tends to in nity. Mean field games method was designed to tackle this kind of problems. We present mean field games methodology in a general setting with arbitrary underlying Markov processes of interactions. Then we justify the mean field games as a proper approximation of large population systems with \(1=N\) convergence rate. Finally, applications of this method are presented. This is a joint work with Vassili Kolokoltsov.