A Rank-Based Mean Field Game in the Strong Formulation
12 Pages Posted: 13 May 2016
Date Written: March 21, 2016
Abstract
We discuss a natural game of competition and solve the corresponding mean field game with common noise when agents’ rewards are rank-dependent. We use this solution to provide an approximate Nash equilibrium for the finite player game and obtain the rate of convergence.
Keywords: Mean Field Games, Competition, Common Noise, Rank-Dependent Interaction, Non-Local Interaction, Strong Formulation
Suggested Citation: Suggested Citation
Bayraktar, Erhan and Zhang, Yuchong, A Rank-Based Mean Field Game in the Strong Formulation (March 21, 2016). Available at SSRN: https://ssrn.com/abstract=2779255 or http://dx.doi.org/10.2139/ssrn.2779255
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