This paper introduces a stationary mean-field game framework that directly incorporates distributional model uncertainty into population-coupled dynamics. It establishes a robust dynamic programming principle, proves existence of a stationary robust equilibrium, and presents the first algorithm with convergence guarantees. The mean-field solution approximates finite-population equilibria and provides explicit non-asymptotic error bounds under model uncertainty.
Stationary Robust Mean-Field Games under Model Mismatches
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