Acciaio, Beatrice, Veraguas, Julio Backhoff and Jia, Junchao (2021) Cournot-Nash equilibrium and optimal transport in a dynamic setting. SIAM Journal on Control and Optimization, 59 (3). 2273 - 2300. ISSN 0363-0129
Full text not available from this repository.Abstract
We consider a large population dynamic game in discrete time. The peculiarity of the game is that players are characterized by time-evolving types, and so reasonably their actions should not anticipate the future values of their types. When interactions between players are of mean field kind, we relate Nash equilibria for such games to an asymptotic notion of dynamic Cournot-Nash equilibria. Inspired by the works of Blanchet and Carlier for the static situation, we interpret dynamic Cournot-Nash equilibria in the light of causal optimal transport theory. Further specializing to games of potential type, we establish existence, uniqueness, and characterization of equilibria. Moreover we develop, for the first time, a numerical scheme for causal optimal transport, which is then leveraged in order to compute dynamic Cournot-Nash equilibria. This is illustrated in a detailed case study of a congestion game.
| Item Type: | Article |
|---|---|
| Official URL: | https://epubs.siam.org/journal/sjcodc |
| Additional Information: | © 2021 Society for Industrial and Applied Mathematics |
| Divisions: | Mathematics Statistics |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
| Date Deposited: | 01 Apr 2022 23:13 |
| Last Modified: | 09 Nov 2024 17:24 |
| URI: | http://eprints.lse.ac.uk/id/eprint/114574 |
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