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On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players
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Kolokoltsov, V. N. (Vasiliĭ Nikitich), Troeva, Marianna and Yang, Wei (2014) On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players. Dynamic Games and Applications, Volume 4 (Number 2). pp. 208-230. doi:10.1007/s13235-013-0095-6
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Official URL: http://dx.doi.org/10.1007/s13235-013-0095-6
Abstract
In this paper, we investigate the mean field games of N agents who are weakly coupled via the empirical measures. The underlying dynamics of the representative agent is assumed to be a controlled nonlinear diffusion process with variable coefficients. We show that individual optimal strategies based on any solution of the main consistency equation for the backward-forward mean filed game model represent a 1/N-Nash equilibrium for approximating systems of N agents.
| Item Type: | Journal Article | ||||||
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| Divisions: | Faculty of Science > Statistics | ||||||
| Journal or Publication Title: | Dynamic Games and Applications | ||||||
| Publisher: | Birkhaeuser Science | ||||||
| ISSN: | 2153-0785 | ||||||
| Official Date: | June 2014 | ||||||
| Dates: |
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| Volume: | Volume 4 | ||||||
| Number: | Number 2 | ||||||
| Page Range: | pp. 208-230 | ||||||
| DOI: | 10.1007/s13235-013-0095-6 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Restricted or Subscription Access |
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