Risk-Sensitive Mean Field Games
In this paper, the authors study a class of risk-sensitive mean-field stochastic differential games. They show that under appropriate regularity conditions, the mean-field value of the stochastic differential game with exponentiated integral cost functional coincides with the value function described by a Hamilton-Jacobi-Bellman (HJB) equation with an additional quadratic term. They provide an explicit solution of the meanfield best response when the instantaneous cost functions are log-quadratic and the state dynamics are affine in the control. An equivalent mean-field risk-neutral problem is formulated and the corresponding mean-field equilibria are characterized in terms of backward-forward macroscopic McKean-Vlasov equations, Fokker-Planck-Kolmogorov equations, and HJB equations. They provide numerical examples on the mean field behavior to illustrate both linear and McKean-Vlasov dynamics.