On mean field games with common noise and McKean-Vlasov SPDEs
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Publication:5378406
Abstract: We formulate the MFG limit for interacting agents with a common noise as a single quasi-linear deterministic infinite-dimensional partial differential second order backward equation. We prove that any its (regular enough) solution provides an -Nash-equilibrium profile for the initial -player game. We use the method of stochastic characteristics to provide the link with the basic models of MFG with a major player. We develop two auxiliary theories of independent interest: sensitivity and regularity analysis for the McKean-Vlasov SPDEs and the -convergence rate for the propagation of chaos property of interacting diffusions.
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