A general characterization of the mean field limit for stochastic differential games
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Publication:737313
DOI10.1007/S00440-015-0641-9zbMATH Open1344.60065arXiv1408.2708OpenAlexW1485289509MaRDI QIDQ737313FDOQ737313
Authors: Daniel Lacker 
Publication date: 10 August 2016
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
Abstract: The mean field limit of large-population symmetric stochastic differential games is derived in a general setting, with and without common noise, on a finite time horizon. Minimal assumptions are imposed on equilibrium strategies, which may be asymmetric and based on full information. It is shown that approximate Nash equilibria in the -player games admit certain weak limits as tends to infinity, and every limit is a weak solution of the mean field game (MFG). Conversely, every weak MFG solution can be obtained as the limit of a sequence of approximate Nash equilibria in the -player games. Thus, the MFG precisely characterizes the possible limiting equilibrium behavior of the -player games. Even in the setting without common noise, the empirical state distributions may admit stochastic limits which cannot be described by the usual notion of MFG solution.
Full work available at URL: https://arxiv.org/abs/1408.2708
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Central limit and other weak theorems (60F05) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) (n)-person games, (n>2) (91A06) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
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