An invariance principle in large population stochastic dynamic games

被引：67

作者：

Huang, Minyi ^{[1
]}

Caines, Peter E. ^{[2
]}

Malhame, Roland P. ^{[3
]}

机构：

[1] Australian Natl Univ, Res Sch Informat Sci & Engn, Dept Informat Engn, Canberra, ACT 0200, Australia

[2] McGill Univ, Dept Elect & Comp Engn, Montreal, PQ H3A 2A7, Canada

[3] Ecole Polytech, Dept Elect Engn, Montreal, PQ H3C 3A7, Canada

来源：

JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2007年 / 20卷 / 02期

关键词：

large population; martingale representation; Nash equilibrium; optimal control; stochastic dynamic games;

D O I：

10.1007/s11424-007-9015-4

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We study large population stochastic dynamic games where the so-called Nash certainty equivalence based control laws are implemented by the individual players. We first show a martingale property for the limiting control problem of a single agent and then perform averaging across the population; this procedure leads to a constant value for the martingale which shows an invariance property of the population behavior induced by the Nash strategies.

引用

页码：162 / 172

页数：11

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