Selection of equilibria in a linear quadratic mean-field game

TL;DR

This paper investigates equilibrium selection in a specific mean-field game with common noise, comparing three approaches and showing that two of them agree on the selected equilibria while the third differs.

Contribution

It demonstrates that two natural equilibrium selection methods coincide in their choices, whereas a third method selects a different equilibrium in this class of mean-field games.

Findings

Two approaches agree on equilibrium selection.

The third approach selects a different equilibrium.

The results clarify the relationships between different selection criteria.

Abstract

In this paper, we address an instance of uniquely solvable mean-field game with a common noise whose corresponding counterpart without common noise has several equilibria. We study the selection problem for this mean-field game without common noise via three approaches. A common approach is to select, amongst all the equilibria, those yielding the minimal cost for the representative player. Another one is to select equilibria that are included in the support of the zero noise limit of the mean-field game with common noise. A last one is to select equilibria supported by the limit of the mean-field component of the corresponding $N$-player game as the number of players goes to infinity. The contribution of this paper is to show that, for the class under study, the last two approaches select the same equilibria, but the first approach selects another one.