论文标题
离散的平均野战游戏具有避开风险的代理
Discrete-time mean field games with risk averse-agents
论文作者
论文摘要
我们建议并研究涉及规避风险代理的离散时间平均野外游戏模型。所研究的模型是具有Kolmogorov方程的动态编程方程的耦合系统。代理商的风险规避是通过复合风险度量来建模的。使用固定点方法获得了耦合系统的解决方案的存在。相应的反馈控件允许为有限很多玩家的相关动态游戏构建一个近似的NASH平衡。
We propose and investigate a discrete-time mean field game model involving risk-averse agents. The model under study is a coupled system of dynamic programming equations with a Kolmogorov equation. The agents' risk aversion is modeled by composite risk measures. The existence of a solution to the coupled system is obtained with a fixed point approach. The corresponding feedback control allows to construct an approximate Nash equilibrium for a related dynamic game with finitely many players.
