Convergence to the mean field game limit: a case study
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Publication:2180385
DOI10.1214/19-AAP1501zbMATH Open1437.91058arXiv1806.00817MaRDI QIDQ2180385FDOQ2180385
Authors: Marcel Nutz, Jaime San Martín, Xiaowei Tan 
Publication date: 13 May 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We study the convergence of Nash equilibria in a game of optimal stopping. If the associated mean field game has a unique equilibrium, any sequence of -player equilibria converges to it as . However, both the finite and infinite player versions of the game often admit multiple equilibria. We show that mean field equilibria satisfying a transversality condition are limit points of -player equilibria, but we also exhibit a remarkable class of mean field equilibria that are not limits, thus questioning their interpretation as "large " equilibria.
Full work available at URL: https://arxiv.org/abs/1806.00817
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Stopping times; optimal stopping problems; gambling theory (60G40) (n)-person games, (n>2) (91A06) Games with infinitely many players (91A07) Games of timing (91A55) Mean field games (aspects of game theory) (91A16)
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Cited In (35)
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