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Mean Field Games

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Encyclopedia of Systems and Control

Abstract

Mean Field Game (MFG) theory studies the existence of Nash equilibria, together with the individual strategies which generate them, in games involving a large number of agents modeled by controlled stochastic dynamical systems. This is achieved by exploiting the relationship between the finite and corresponding infinite limit population problems. The solution of the infinite population problem is given by the fundamental MFG Hamilton-Jacobi-Bellman (HJB) and Fokker-Planck-Kolmogorov (FPK) equations which are linked by the state distribution of a generic agent, otherwise known as the system’s mean field.

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Author information

Authors and Affiliations

  1. McGill University, Montreal, QC, Canada

    Peter E. Caines

Authors
  1. Peter E. Caines
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Editor information

Editors and Affiliations

  1. Mechanical Engineering, Electrical and Computer Engineering, Boston University, Boston, MA, USA

    John Baillieul

  2. Honeywell Automation and Control Solutions, Golden Valley, MN, USA

    Tariq Samad

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© 2015 Springer-Verlag London

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Caines, P.E. (2015). Mean Field Games. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5058-9_30

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