Finite State Mean Field Games with Wright–Fisher Common Noise as Limits ofN-Player Weighted Games

DOI10.1287/MOOR.2021.1230MaRDI QIDQ5870358zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Alekos Cecchin, Asaf Cohen, François Delarue

Publication date 9 January 2023

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2012.04845

zbMATH Keywords

convergence problemdiffusion approximationmean field gamesWright-Fischer common noise

Mathematics Subject Classification ID

Mean field games (aspects of game theory) (91A16)

Abstract: Forcing finite state mean field games by a relevant form of common noise is a subtle issue, which has been addressed only recently. Among others, one possible way is to subject the simplex valued dynamics of an equilibrium by a so-called Wright-Fisher noise, very much in the spirit of stochastic models in population genetics. A key feature is that such a random forcing preserves the structure of the simplex, which is nothing but, in this setting, the probability space over the state space of the game. The purpose of this article is hence to elucidate the finite player version and, accordingly, to prove that $N$-player equilibria indeed converge towards the solution of such a kind of Wright-Fisher mean field game. Whilst part of the analysis is made easier by the fact that the corresponding master equation has already been proved to be uniquely solvable under the presence of the common noise, it becomes however more subtle than in the standard setting because the mean field interaction between the players now occurs through a weighted empirical measure. In other words, each player carries its own weight, which hence may differ from $1/N$ and which, most of all, evolves with the common noise.

Recommendations

• Finite state mean field games with Wright-Fisher common noise
• Continuous-time mean field games with finite state space and common noise
• Continuous time finite state mean field games
• On mean field games with common noise and McKean-Vlasov SPDEs
• Selection by vanishing common noise for potential finite state mean field games

Cites work

• \(N\)-player games and mean-field games with absorption
• A general characterization of the mean field limit for stochastic differential games
• A Mean Field Game of Optimal Stopping
• Analysis of a Finite State Many Player Game Using Its Master Equation
• Continuous-time mean field games with finite state space and common noise
• Convergence, fluctuations and large deviations for finite state mean field games via the master equation
• Degenerate diffusion operators arising in population biology
• Finite state mean field games with Wright-Fisher common noise
• From the master equation to mean field game limit theory: a central limit theorem
• From the master equation to mean field game limit theory: large deviations and concentration of measure
• scientific article; zbMATH DE number 1583966 (Why is no real title available?)
• scientific article; zbMATH DE number 4211245 (Why is no real title available?)
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 741240 (Why is no real title available?)
• scientific article; zbMATH DE number 1550904 (Why is no real title available?)
• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• Limit theory for controlled McKean-Vlasov dynamics
• Master equation for finite state mean field games with additive common noise
• Mean field games. I: The stationary case
• Mean field games. II: Finite horizon and optimal control
• On non-uniqueness in mean field games
• On the connection between symmetric \(N\)-player games and mean field games
• On the convergence of closed-loop Nash equilibria to the mean field game limit
• On the Convergence Problem in Mean Field Games: A Two State Model without Uniqueness
• Optimal stopping in mean field games, an obstacle problem approach
• Probabilistic approach to finite state mean field games
• Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games
• Probabilistic theory of mean field games with applications II. Mean field games with common noise and master equations
• Selection by vanishing common noise for potential finite state mean field games
• Some remarks on mean field games
• The Master Equation and the Convergence Problem in Mean Field Games

Cited in

(14)

• Mean field games in the weak noise limit : a WKB approach to the Fokker-Planck equation
• Finite state mean field games with Wright-Fisher common noise
• Analysis of the finite-state ergodic master equation
• Selection by vanishing common noise for potential finite state mean field games
• Propagation of chaos of forward-backward stochastic differential equations with graphon interactions
• A finite-dimensional approximation for partial differential equations on Wasserstein space
• From finite population optimal stopping to mean field optimal stopping
• Incomplete information mean-field games and related Riccati equations
• Set values for mean field games
• Uniform-in-time convergence rates to a nonlinear Markov chain for mean-field interacting jump processes
• Mean field game master equations with anti-monotonicity conditions
• On time-inconsistency in mean-field games
• Some remarks on linear-quadratic closed-loop games with many players
• Finite state mean field games with common shocks

This page was built for publication: Finite State Mean Field Games with Wright–Fisher Common Noise as Limits ofN-Player Weighted Games

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5870358)