Deterministic limit of mean field games associated with nonlinear Markov processes

DOI10.1007/S00245-018-9486-9MaRDI QIDQ2187327zbMATH OpenOpenAlexWikidataFDO

Authors Yuriĭ V. Averbukh

Publication date 2 June 2020

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1512.07887

zbMATH Keywords

deterministic limitmean field gamesminimax solutions

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Mean field games (aspects of game theory) (91A16)

Abstract: The paper is concerned with the deterministic limit of mean field games with the nonlocal coupling. It is assumed that the dynamics of mean field games are given by nonlinear Markov processes. This type of games includes stochastic mean field games as well as mean field games with finite state space. We consider the limiting deterministic mean field game within the framework of minimax approach. The concept of minimax solutions is close to the probabilistic formulation. In this case the Hamilton--Jacobi equation is considered in the minimax/viscosity sense, whereas the flow of probabilities is determined by the probability on the set of solutions of the differential inclusion associated with the Hamilton-Jacobi equation such that those solutions are viable in the graph of the minimax solution. The main result of the paper is the convergence (up to subsequence) of the solutions of the mean field games to the minimax solution of deterministic mean field game in the case when the underlying dynamics converge to the deterministic evolution.

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Cited in

(3)

• Abstract McKean-Vlasov and Hamilton-Jacobi-Bellman equations, their fractional versions and related forward-backward systems on Riemannian manifolds
• Stackelberg solution of first-order mean field game with a major player
• Analysis of mean field games via Fokker-Planck-Kolmogorov equations: existence of equilibria

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