On the convergence of closed-loop Nash equilibria to the mean field game limit

DOI10.1214/19-AAP1541zbMath1470.91036arXiv1808.02745OpenAlexW3047552776MaRDI QIDQ2657922

Daniel Lacker

Publication date: 18 March 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.02745

zbMATH Keywords

stochastic differential gamesmean field gamesrelaxed controlsMcKean-Vlasov equationsclosed-loop controls

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Mean field games (aspects of game theory) (91A16)

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