Computation of Mean Field Equilibria in Economics

Lachapelle, Aimé; Salomon, Julien; Turinici, Gabriel

Lachapelle, Aimé; Salomon, Julien; Turinici, Gabriel (2010), Computation of Mean Field Equilibria in Economics, Mathematical Models and Methods in Applied Sciences, 20, 4, p. 567-588. http://dx.doi.org/10.1142/S0218202510004349

Type

Article accepté pour publication ou publié

External document link

http://hal.archives-ouvertes.fr/hal-00346214/en/

Date

2010

Journal name

Mathematical Models and Methods in Applied Sciences

Volume

Number

Publisher

World Scientific

Pages

567-588

Abstract (EN)

Motivated by a mean field games stylized model for the choice of technologies (with externalities and economy of scale), we consider the associated optimization problem and prove an existence result. To complement the theoretical result, we introduce a monotonic algorithm to find the mean field equilibria. We close with some numerical results, including the multiplicity of equilibria describing the possibility of a technological transition.

Subjects / Keywords

mean field games; dynamic equilibrium; externalities; monotonic algorithms; optimal control; non-convex optimization

JEL

C62 - Existence and Stability Conditions of Equilibrium