Mean field games with poisson point processes and impulse control
This paper considers mean field games in a continuous time competitive Markov decision process framework. Each player's state has pure jumps modelled by a self-weighted compound Poisson process subject to impulse control. We focus on analyzing the steady-state (or stationary) equation system of the mean field game. The best response is determined as a threshold policy and the stationary distribution of the state is derived in terms of the threshold value. The numerical solution of the equation system is developed.
|Conference||56th IEEE Annual Conference on Decision and Control, CDC 2017|
Zhou, M. (Mengjie), & Huang, M. (2018). Mean field games with poisson point processes and impulse control. In 2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017 (pp. 3152–3157). doi:10.1109/CDC.2017.8264120