An Invariance Principle in Large Population Stochastic Dynamic Games

被引：0

作者：

Minyi Huang

Peter E. Caines

Roland P. Malhamé

机构：

[1] The Australian National University,Department of Information Engineering, Research School of Information Sciences and Engineering

[2] McGill University,Department of Electrical and Computer Engineering

[3] École Polytechnique de Montréal,Department of Electrical Engineering

[4] GERAD,undefined

来源：

Journal of Systems Science and Complexity | 2007年 / 20卷

关键词：

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

D O I：

暂无

中图分类号：

学科分类号：

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：10

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[9]

Gärtner J.(undefined)undefined undefined undefined undefined-undefined

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