On the connection between symmetric N-player games and mean field games

DOI10.1214/16-AAP1215MaRDI QIDQ2013569zbMATH OpenFDO

Authors Yanyan Li

Publication date 8 August 2017

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.1345, https://projecteuclid.org/euclid.aoap/1495764366

zbMATH Keywords

weak convergencemean field gamesNash equilibriumoptimal controlmartingale problemMcKean-Vlasov limit

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) (n)-person games, (n>2) (91A06) Games with infinitely many players (91A07) Optimal stochastic control (93E20)

Abstract: Mean field games are limit models for symmetric $N$-player games with interaction of mean field type as $Noinfty$. The limit relation is often understood in the sense that a solution of a mean field game allows to construct approximate Nash equilibria for the corresponding $N$-player games. The opposite direction is of interest, too: When do sequences of Nash equilibria converge to solutions of an associated mean field game? In this direction, rigorous results are mostly available for stationary problems with ergodic costs. Here, we identify limit points of sequences of certain approximate Nash equilibria as solutions to mean field games for problems with It{^o}-type dynamics and costs over a finite time horizon. Limits are studied through weak convergence of associated normalized occupation measures and identified using a probabilistic notion of solution for mean field games.

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