Convergence, fluctuations and large deviations for finite state mean field games via the master equation
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Publication:2010489
DOI10.1016/J.SPA.2018.12.002zbMATH Open1450.60015arXiv1707.01819OpenAlexW2963993278WikidataQ128786212 ScholiaQ128786212MaRDI QIDQ2010489FDOQ2010489
Guglielmo Pelino, Alekos Cecchin
Publication date: 27 November 2019
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We show the convergence of finite state symmetric N-player differential games, where players control their transition rates from state to state, to a limiting dynamics given by a finite state Mean Field Game system made of two coupled forward-backward ODEs. We exploit the so-called Master Equation, which in this finite-dimensional framework is a first order PDE in the simplex of probability measures, obtaining the convergence of the feedback Nash equilibria, the value functions and the optimal trajectories. The convergence argument requires only the regularity of a solution to the Master equation. Moreover, we employ the convergence method to prove a Central Limit Theorem and a Large Deviation Principle for the evolution of the N-player empirical measures. The well-posedness and regularity of solution to the Master Equation are also studied.
Full work available at URL: https://arxiv.org/abs/1707.01819
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central limit theoremlarge deviation principlemean field gamesNash equilibriummaster equationpropagation of chaos\(N\)-person gamesjump Markov processesfinite state space
Large deviations (60F10) Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Noncooperative games (91A10) Continuous-time Markov processes on discrete state spaces (60J27) Optimal stochastic control (93E20)
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