Large population games with interactions through controls and common noise: convergence results and equivalence between open-loop and closed-loop controls

DOI10.1051/COCV/2023005MaRDI QIDQ6138467zbMATH OpenOpenAlexFDO

Authors Mao Fabrice Djete

Publication date 5 September 2023

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2108.02992

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)

Abstract: In the presence of a common noise, we study the convergence problems in mean field game (MFG) and mean field control (MFC) problem where the cost function and the state dynamics depend upon the joint conditional distribution of the controlled state and the control process. In the first part, we consider the MFG setting. We start by recalling the notions of $measure$--$valued$ MFG equilibria and of approximate $closed$--$loop$ Nash equilibria associated to the corresponding $N$--player game. Then, we show that all convergent sequences of approximate $closed$--$loop$ Nash equilibria, when $Noinfty,$ converge to $measure$--$valued$ MFG equilibria. And conversely, any $measure$--$valued$ MFG equilibrium is the limit of a sequence of approximate $closed$--$loop$ Nash equilibria. In other words, $measure$--$valued$ MFG equilibria are the accumulation points of the approximate $closed$--$loop$ Nash equilibria. Previous work has shown that $measure$--$valued$ MFG equilibria are the accumulation points of the approximate $open$--$loop$ Nash equilibria. Therefore, we obtain that the limits of approximate $closed$--$loop$ Nash equilibria and approximate $open$--$loop$ Nash equilibria are the same. In the second part, we deal with the MFC setting. After recalling the $closed$--$loop$ and $open$--$loop$ formulations of the MFC problem, we prove that they are equivalent. We also provide some convergence results related to approximate $closed$--$loop$ Pareto equilibria.

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Cited in

(6)

• The Role of Population Games in the Design of Optimization-Based Controllers
• Individual and mass behavior in large population forward–backward stochastic control problems: Centralized and Nash equilibrium solutions
• Isomorphism Properties of Optimality and Equilibrium Solutions Under Equivalent Information Structure Transformations: Stochastic Dynamic Games and Teams
• From finite population optimal stopping to mean field optimal stopping
• Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls
• Set values for mean field games

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