Optimal control and potential games in the mean field
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