A Numerical Scheme for a Mean Field Game in Some Queueing Systems Based on Markov Chain Approximation Method

DOI10.1137/17M1154357;zbMath1425.91043arXiv1708.08343MaRDI QIDQ4554792

Erhan Bayraktar, Asaf Cohen, Amarjit Budhiraja

Publication date: 9 November 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.08343

zbMATH Keywords

Nash equilibriumnumerical schememean field gamesreflected diffusionsqueuing systemsheavy traffic limitsrate controlMarkov chain approximation method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Differential games (aspects of game theory) (91A23) Queueing theory (aspects of probability theory) (60K25) Numerical analysis or methods applied to Markov chains (65C40) Stochastic games, stochastic differential games (91A15) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

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Optimal Incentives to Mitigate Epidemics: A Stackelberg Mean Field Game Approach ⋮ Convergence of deep fictitious play for stochastic differential games ⋮ A probabilistic numerical method for a class of mean field games ⋮ Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems ⋮ Approximation of \(N\)-player stochastic games with singular controls by mean field games ⋮ Rate control under heavy traffic with strategic servers ⋮ Analysis of a Finite State Many Player Game Using Its Master Equation

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