Analysis of a Finite State Many Player Game Using Its Master Equation
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Publication:4685375
DOI10.1137/17M113887XzbMATH Open1416.91013arXiv1707.02648WikidataQ129149680 ScholiaQ129149680MaRDI QIDQ4685375
Author name not available (Why is that?)
Publication date: 8 October 2018
Published in: (Search for Journal in Brave)
Abstract: We consider an n-player symmetric stochastic game with weak interaction between the players. Time is continuous and the horizon and the number of states are finite. We show that the value function of each of the players can be approximated by the solution of a partial differential equation called the master equation. Moreover, we analyze the fluctuations of the empirical measure of the states of the players in the game and show that it is governed by a solution to a stochastic differential equation. Finally, we prove the regularity of the master equation, which is required for the above results.
Full work available at URL: https://arxiv.org/abs/1707.02648
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