Robust Mean Field Games with Application to Production of an Exhaustible Resource
Résumé
In this paper, we study mean field games under uncertainty. We consider a population of players with individual states driven by a standard Brownian motion and a disturbance term. The contribution is three-fold: First, we establish a mean field system for such robust games. Second, we apply the methodology to an exhaustible resource production. Third, we show that the dimension of the mean field system can be significantly reduced by considering a functional of the first moment of the mean field process.