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

DOI10.3934/NACO.2023001MaRDI QIDQ6164096zbMATH OpenOpenAlexFDO

Authors Haoyang Cao, Xin Guo, Joonseok Lee

Publication date 26 July 2023

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

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

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)

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.

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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
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