Optimal control and potential games in the mean field

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Authors: Felix Höfer, H. Mete Soner
Cited by: 1
References: 36

Abstract

We study a mean-field optimal control problem with general non-Markovian dynamics that allow both common noise and jumps. We show that its minimizers are Nash equilibria of an associated mean field game of controls. These types of games are potential, and the resulting Nash equilibria are closely linked to McKean-Vlasov equations of Langevin type. Furthermore, as a byproduct of our main result, we obtain the existence of strong common noise equilibria for potential games. To illustrate the general theory, we present several examples, including a mean field game of controls with interactions through a price variable, as well as mean-field Cucker-Smale Flocking and Kuramoto models. We also establish the invariance property of the value function, which is a key ingredient used in our proofs.

Fields of Study & Subjects

Stochastic processes and financial applications Game Theory and Applications Auction Theory and Applications

Publication details

Journal / source
Stochastic Processes and their Applications
Publisher
Elsevier BV
Volume
199
Pages
104971–104971
Publication date
16 April 2026
Language
EN