Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls

DOI10.1137/22M1469328zbMath1493.91014arXiv2004.08351OpenAlexW3016303697MaRDI QIDQ5084120

Ludovic Tangpi, Mathieu Laurière

Publication date: 23 June 2022

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.08351

zbMATH Keywords

maximum principlepropagation of chaosmean field gamesFBSDEinteraction through controlslarge population games

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)

Related Items (15)

Extended mean field control problem: a propagation of chaos result ⋮ Backward propagation of chaos ⋮ Linear-quadratic mean field games of controls with non-monotone data ⋮ Regularity of the value function and quantitative propagation of chaos for mean field control problems ⋮ Closed-loop convergence for mean field games with common noise ⋮ Optimal investment in a large population of competitive and heterogeneous agents ⋮ Large population games with interactions through controls and common noise: convergence results and equivalence between open-loop and closed-loop controls ⋮ Approximation of \(N\)-player stochastic games with singular controls by mean field games ⋮ Mean field games of controls: on the convergence of Nash equilibria ⋮ Propagation of chaos of forward-backward stochastic differential equations with graphon interactions ⋮ Mean field control and finite agent approximation for regime-switching jump diffusions ⋮ Maximum principle for stochastic control of SDEs with measurable drifts ⋮ Closed‐loop Nash competition for liquidity ⋮ Laplace principle for large population games with control interaction ⋮ Mean-field BSDEs with jumps and dual representation for global risk measures

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