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Mean Field Game with Delay: A Toy Model
oleh: Jean-Pierre Fouque, Zhaoyu Zhang
Format: | Article |
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Diterbitkan: | MDPI AG 2018-09-01 |
Deskripsi
We study a toy model of linear-quadratic mean field game with delay. We “lift” the delayed dynamic into an infinite dimensional space, and recast the mean field game system which is made of a forward Kolmogorov equation and a backward Hamilton-Jacobi-Bellman equation. We identify the corresponding master equation. A solution to this master equation is computed, and we show that it provides an approximation to a Nash equilibrium of the finite player game.