Large deviations principle for discrete-time mean-field games

DOI10.1016/J.SYSCONLE.2021.105042zbMATH Open1480.91034arXiv2102.07865OpenAlexW3202337802MaRDI QIDQ2059481FDOQ2059481

Authors: Naci Saldi 

Publication date: 14 December 2021

Published in: Systems \& Control Letters (Search for Journal in Brave)

Abstract: In this paper, we establish a large deviations principle (LDP) for interacting particle systems that arise from state and action dynamics of discrete-time mean-field games under the equilibrium policy of the infinite-population limit. The LDP is proved under weak Feller continuity of state and action dynamics. The proof is based on transferring LDP for empirical measures of initial states and noise variables under setwise topology to the original game model via contraction principle, which was first suggested by Delarue, Lacker, and Ramanan to establish LDP for continuous-time mean-field games under common noise. We also compare our work with LDP results established in prior literature for interacting particle systems, which are in a sense uncontrolled versions of mean-field games.

Full work available at URL: https://arxiv.org/abs/2102.07865

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zbMATH Keywords

large deviations principleinteracting particle systemsmean-field games

Mathematics Subject Classification ID

Large deviations (60F10) Discrete-time games (91A50) Mean field games (aspects of game theory) (91A16)

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Cited In (1)

• Laplace principle for large population games with control interaction

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