N-player games and mean-field games with absorption
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absorbing boundarymartingale problemMcKean-Vlasov limitmean-field gameNash equilibriumoptimal controlweak convergence
Differential games and control (49N70) Convergence of probability measures (60B10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) (n)-person games, (n>2) (91A06) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)
Abstract: We introduce a simple class of mean field games with absorbing boundary over a finite time horizon. In the corresponding -player games, the evolution of players' states is described by a system of weakly interacting It^o equations with absorption on first exit from a bounded open set. Once a player exits, her/his contribution is removed from the empirical measure of the system. Players thus interact through a renormalized empirical measure. In the definition of solution to the mean field game, the renormalization appears in form of a conditional law. We justify our definition of solution in the usual way, that is, by showing that a solution of the mean field game induces approximate Nash equilibria for the -player games with approximation error tending to zero as tends to infinity. This convergence is established provided the diffusion coefficient is non-degenerate. The degenerate case is more delicate and gives rise to counter-examples.
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