Mean Field Equilibrium: Uniqueness, Existence, and Comparative Statics
Bar Light, Gabriel Y. Weintraub
Operations Research · 2022 · Volume 70 · Issue 1
Abstract
The standard solution concept for stochastic games is Markov perfect equilibrium; however, its computation becomes intractable as the number of players increases. Instead, we consider mean field equilibrium (MFE), which has been popularized in recent literature. MFE takes advantage of averaging effects in models with a large number of players. We make three main contributions. First, our main result provides conditions that ensure the uniqueness of an MFE. We believe this uniqueness result is the first of its nature in the class of models we study. 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 in economics and operations.
Keywords
Stochastic Model Applications, dynamic games, mean field equilibrium, uniqueness of equilibrium, comparative statics, dynamic oligopoly models, heterogeneous agent macroeconomic models
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