Master adjoint systems in mean-field-type games

This article presents mean-field-type games with both atomic and non-atomic decision-makers.We establish sufficiency conditions for equilibria in state-and-mean-field-type feedback strategies using Bellman systems in the space of measures. We then derive master adjoint systems. The computation of the equilibrium system is illustrated in variance-aware games with heterogeneous decisionmakers.

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Research supported in part by U.S. Air Force Office of Scientific Research under grant number FA9550-17-1-0259.

Received 23 May 2020

Published 4 June 2021