Mean Field Equilibrium: Uniqueness, Existence, and Comparative Statics
41 Pages Posted: 13 Nov 2018
Date Written: October 8, 2018
The standard solution concept for stochastic games is Markov perfect equilibrium (MPE); however, its computation becomes intractable as the number of players increases. Instead, we consider mean field equilibrium (MFE) that have been popularized in the recent literature. MFE take advantage of averaging effects in models with a large number of agents. We make three main contributions. First, our main result in this paper provides conditions that ensure the uniqueness of a MFE. Second, we generalize previous MFE existence results. Third, we provide general comparative statics results. We apply our results to dynamic oligopoly models and to heterogeneous agent macroeconomic models commonly used in previous work. We believe our uniqueness result is the first of its nature in the class of models we study.
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