Approximating Nash Equilibrium for Production Control with Sticky Price

Abstract

We study a mean field game problem arising from the production control for multiple firms with price stickiness in the commodity market. The price dynamics for each firm is described as a (controlled) jump-diffusion process with mean-field interaction. Each firm aims to maximize her expectation of cumulative net profit coupled with each other through price processes. By solving the limiting control problem and a fixed-point problem, we construct an explicit approximating Nash equilibrium when the number of firms grows large.