NDLI: Mean Field Games for Stochastic Growth with Relative Utility

Content Provider	Springer Nature Link
Author	Nguyen, Son Luu Huang, Minyi
Copyright Year	2016
Abstract	This paper considers continuous time stochastic growth-consumption optimization in a mean field game setting. The individual capital stock evolution is determined by a Cobb–Douglas production function, consumption and stochastic depreciation. The individual utility functional combines an own utility and a relative utility with respect to the population. The use of the relative utility reflects human psychology, leading to a natural pattern of mean field interaction. The fixed point equation of the mean field game is derived with the aid of some ordinary differential equations. Due to the relative utility interaction, our performance analysis depends on some ratio based approximation error estimate.
Ending Page	668
Page Count	26
Starting Page	643
File Format	PDF
ISSN	00954616
e-ISSN	14320606
Journal	Applied Mathematics and Optimization
Issue Number	3
Volume Number	74
Language	English
Publisher	Springer US
Publisher Date	2016-11-17
Publisher Place	New York
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Stochastic growth Mathematical Methods in Physics Calculus of Variations and Optimal Control; Optimization Systems Theory, Control Optimal stochastic control Theoretical, Mathematical and Computational Physics Mean field game Relative utility Dynamic games Dynamic programming Numerical and Computational Physics, Simulation Growth models
Content Type	Text
Resource Type	Article
Subject	Applied Mathematics Control and Optimization

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