Approximation of N-player stochastic games with singular controls by mean field games

DOI10.3934/NACO.2023001zbMATH Open1518.49044arXiv2202.06835OpenAlexW4328023123MaRDI QIDQ6164096FDOQ6164096

Authors: Haoyang Cao, Xin Guo, Joonseok Lee 

Publication date: 26 July 2023

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Abstract: This paper establishes that a class of $N$-player stochastic games with singular controls, either of bounded velocity or of finite variation, can both be approximated by mean field games (MFGs) with singular controls of bounded velocity. More specifically, it shows (i) the optimal control to an MFG with singular controls of a bounded velocity $heta$ is shown to be an $epsilo{n}_N$-NE to an $N$-player game with singular controls of the bounded velocity, with $epsilo{n}_N=O(frac1sqrtN)$, and (ii) the optimal control to this MFG is an $(epsilo{n}_N+epsilo{n}_{heta})$-NE to an $N$-player game with singular controls of finite variation, where $epsilo{n}_{heta}$ is an error term that depends on $heta$. This work generalizes the classical result on approximation $N$-player games by MFGs, by allowing for discontinuous controls.

Full work available at URL: https://arxiv.org/abs/2202.06835

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zbMATH Keywords

singular controlstochastic differential gamemean field gamefinite variationbounded velocity\( N\)-player game

Mathematics Subject Classification ID

(n)-person games, (n>2) (91A06) Stochastic games, stochastic differential games (91A15) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)

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Cited In (6)

• Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
• Mean field games with singular controls
• Nonzero-sum submodular monotone-follower games: existence and approximation of Nash equilibria
• From mean field games to the best reply strategy in a stochastic framework
• Title not available (Why is that?)
• Mean-field games of finite-fuel capacity expansion with singular controls

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