An Invariance Principle in Large Population Stochastic Dynamic Games
نویسندگان
چکیده
منابع مشابه
An Invariance Principle in Large Population Stochastic Dynamic Games
We study large population stochastic dynamic games where the so-called Nash certainty equivalence based control laws are implemented by the individual players. We first show a martingale property for the limiting control problem of a single agent and then perform averaging across the population; this procedure leads to a constant value for the martingale which shows an invariance property of th...
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ژورنال
عنوان ژورنال: Journal of Systems Science and Complexity
سال: 2007
ISSN: 1009-6124,1559-7067
DOI: 10.1007/s11424-007-9015-4