Mean Field Game with Delay: A Toy Model

oleh: Jean-Pierre Fouque, Zhaoyu Zhang

Format: Article
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.