One-Dimensional Forward–Forward Mean-Field Games

One-Dimensional Forward–Forward Mean-Field Games While the general theory for the terminal-initial value problem for mean-field games (MFGs) has achieved a substantial progress, the corresponding forward–forward problem is still poorly understood—even in the one-dimensional setting. Here, we consider one-dimensional forward–forward MFGs, study the existence of solutions and their long-time convergence. First, we discuss the relation between these models and systems of conservation laws. In particular, we identify new conserved quantities and study some qualitative properties of these systems. Next, we introduce a class of wave-like equations that are equivalent to forward–forward MFGs, and we derive a novel formulation as a system of conservation laws. For first-order logarithmic forward–forward MFG, we establish the existence of a global solution. Then, we consider a class of explicit solutions and show the existence of shocks. Finally, we examine parabolic forward–forward MFGs and establish the long-time convergence of the solutions. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

One-Dimensional Forward–Forward Mean-Field Games

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Publisher
Springer Journals
Copyright
Copyright © 2016 by Springer Science+Business Media New York
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-016-9384-y
Publisher site
See Article on Publisher Site

Abstract

While the general theory for the terminal-initial value problem for mean-field games (MFGs) has achieved a substantial progress, the corresponding forward–forward problem is still poorly understood—even in the one-dimensional setting. Here, we consider one-dimensional forward–forward MFGs, study the existence of solutions and their long-time convergence. First, we discuss the relation between these models and systems of conservation laws. In particular, we identify new conserved quantities and study some qualitative properties of these systems. Next, we introduce a class of wave-like equations that are equivalent to forward–forward MFGs, and we derive a novel formulation as a system of conservation laws. For first-order logarithmic forward–forward MFG, we establish the existence of a global solution. Then, we consider a class of explicit solutions and show the existence of shocks. Finally, we examine parabolic forward–forward MFGs and establish the long-time convergence of the solutions.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Nov 1, 2016

References

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