Convergence, fluctuations and large deviations for finite state mean field games via the master equation

DOI10.1016/j.spa.2018.12.002zbMath1450.60015arXiv1707.01819OpenAlexW2963993278WikidataQ128786212 ScholiaQ128786212MaRDI QIDQ2010489

Guglielmo Pelino, Alekos Cecchin

Publication date: 27 November 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.01819

zbMATH Keywords

Nash equilibriumcentral limit theoremlarge deviation principlemaster equationpropagation of chaosmean field games\(N\)-person gamesjump Markov processesfinite state space

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Noncooperative games (91A10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20) Large deviations (60F10) Continuous-time Markov processes on discrete state spaces (60J27)

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