Partially observed discrete-time risk-sensitive mean field games

Date
2022-06-07
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Source Title
Dynamic Games and Applications
Print ISSN
2153-0785
Electronic ISSN
2153-0793
Publisher
Birkhaeuser Science
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Pages
1 - 32
Language
English
Type
Article
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Abstract

In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce risk-sensitivity behavior for each agent via an exponential utility function. In the game model, each agent is weakly coupled with the rest of the population through its individual cost and state dynamics via the empirical distribution of states. We establish the mean-field equilibrium in the infinite-population limit using the technique of converting the underlying original partially observed stochastic control problem to a fully observed one on the belief space and the dynamic programming principle. Then, we show that the mean-field equilibrium policy, when adopted by each agent, forms an approximate Nash equilibrium for games with sufficiently many agents. We first consider finite-horizon cost function and then discuss extension of the result to infinite-horizon cost in the next-to-last section of the paper.

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Keywords
Mean field games, Partial observation, Risk sensitive cost
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Published Version (Please cite this version)