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math.OC2014
A 1/n Nash equilibrium for non-linear Markov games of mean-field-type on finite state space
Rani Basna, Astrid Hilbert, Vassili N. Kolokoltsov
We investigate mean field games for players, who are weakly coupled via their empirical measure. To this end we investigate time-dependent pure jump type propagators over a finite…
math.OC2012★ 1 cited
Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations
V. Kolokoltsov, M. Veretennikova
In this paper we study controlled continuous time random walks (CTRWs) and heuristically derive pay-off function dynamic programming (DP) equations which turn in the limit of stand…