Jeux à champ moyen. I – Le cas stationnaire |
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Authors: | Jean-Michel Lasry Pierre-Louis Lions |
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Institution: | 1. Institut de Finance, Université Paris-Dauphine, place du Maréchal de Lattre de Tassigny, 75775 Paris cedex 16, France;2. Collège de France, 3, rue d''Ulm, 75005 Paris, France;3. Ceremade UMR CNRS 7534, Université Paris-Dauphine, place du Maréchal de Lattre de Tassigny, 75775 Paris cedex 16, France |
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Abstract: | We introduce here a general approach to model games with a large number of players. More precisely, we consider N players Nash equilibria for long term stochastic problems and establish rigorously the ‘mean field’ type equations as N goes to infinity. We also prove general uniqueness results and determine the deterministic limit. To cite this article: J.-M. Lasry, P.-L. Lions, C. R. Acad. Sci. Paris, Ser. I 343 (2006). |
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