Asymptotic analysis of mean field games with small common noise

DOI10.3233/ASY-171446zbMATH Open1392.35314arXiv1707.09090MaRDI QIDQ4644192FDOQ4644192

Authors: Saran Ahuja, Weiluo Ren, Tzu-Wei Yang 

Publication date: 30 May 2018

Published in: Asymptotic Analysis (Search for Journal in Brave)

Abstract: In this paper, we consider a mean field game (MFG) model perturbed by small common noise. Our goal is to give an approximation of the Nash equilibrium strategy of this game using a solution from the original no common noise MFG whose solution can be obtained through a coupled system of partial differential equations. We characterize the first order approximation via linear mean-field forward-backward stochastic differential equations whose solution is a centered Gaussian process with respect to the common noise. The first order approximate strategy can be described as follows: at time $tin[0,T]$, applying the original MFG optimal strategy for a sub game over $[t,T]$ with the initial being the current state and distribution. We then show that this strategy gives an approximate Nash equilibrium of order $epsilo{n}^2$.

Full work available at URL: https://arxiv.org/abs/1707.09090

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zbMATH Keywords

asymptoticmean field gamescommon noiseforward-backward stochastic differential equations

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Asymptotic behavior of solutions to PDEs (35B40) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic games, stochastic differential games (91A15)

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• An introduction to mean field game theory
• Closed-loop convergence for mean field games with common noise
• From the master equation to mean field game limit theory: a central limit theorem
• Translation invariant mean field games with common noise
• Mean field games with common noises and conditional distribution dependent FBSDEs
• On first order mean field game systems with a common noise

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