Electronic Communications in Probability

A rank-based mean field game in the strong formulation

Erhan Bayraktar and Yuchong Zhang

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We discuss a natural game of competition and solve the corresponding mean field game with common noise when agents’ rewards are rank-dependent. We use this solution to provide an approximate Nash equilibrium for the finite player game and obtain the rate of convergence.

Article information

Electron. Commun. Probab. Volume 21 (2016), paper no. 72, 12 pp.

Received: 26 March 2016
Accepted: 6 October 2016
First available in Project Euclid: 19 October 2016

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Primary: 60H 91A

mean field games competition common noise rank-dependent interaction non-local interaction strong formulation

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Bayraktar, Erhan; Zhang, Yuchong. A rank-based mean field game in the strong formulation. Electron. Commun. Probab. 21 (2016), paper no. 72, 12 pp. doi:10.1214/16-ECP24. https://projecteuclid.org/euclid.ecp/1476841494

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