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Mathematics > Optimization and Control

arXiv:2210.10117 (math)
[Submitted on 18 Oct 2022]

Title:The Existence and Uniqueness of a Nash Equilibrium in Mean Field Game Theory

Authors:Daniel Block, Moises Reyes Rivas
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Abstract:In recent and past works, convexity is usually assumed on each individual part of the action functional in order to demonstrate the existence and uniqueness of a Nash equilibrium on some interval [0, T] (this meant that each hessian was assumed to be nonnegative). Particularly, a certain assumption was imposed in order to quantify the smallness of T. The contribution of this project is to expand on this with the key insight being that one does not need the convexity of each part of the action, but rather just an appropriate combination of them, which will essentially "compensate" for the other two terms to yield convexity in the action.
This is meaningful in both the pure and applied settings as it generalizes the existence and uniqueness of a Nash equilibrium slightly more, but maybe more importantly matches real world application slightly closer, as in reality there are many settings in which not each part of the action have convexity. Thus, it is more accurate for modern application of Mean Field Game Theory.
Subjects: Optimization and Control (math.OC)
Cite as: arXiv:2210.10117 [math.OC]
  (or arXiv:2210.10117v1 [math.OC] for this version)
  https://doi.org/10.48550/arXiv.2210.10117

Submission history

From: Moises Reyes Rivas [view email]
[v1] Tue, 18 Oct 2022 19:29:01 UTC (22 KB)
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