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.

Additional Metadata
Persistent URL dx.doi.org/10.1109/CDC.2017.8264120
Conference 56th IEEE Annual Conference on Decision and Control, CDC 2017
Citation
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