Laplace principle for large population games with control interaction

Peng Luo and Ludovic Tangpi

Stochastic Processes and their Applications, 2024, vol. 171, issue C

Abstract: This work investigates continuous time stochastic differential games with a large number of players whose costs and dynamics interact through the empirical distribution of both their states and their controls. The control processes are assumed to be open-loop. We give regularity conditions guaranteeing that if the finite-player game admits a Nash equilibrium, then both the sequence of equilibria and the corresponding state processes satisfy a Sanov-type large deviation principle. The results require existence of a Lipschitz continuous solution of the master equation of the corresponding mean field game, and they carry over to cooperative (i.e. central planner) games. We study a linear-quadratic case of such games in details.

Keywords: Large population games; Mean field games; Interaction through controls; Large deviation principle; FBSDE; McKean–Vlasov equations; Concentration of measure; PDEs on Wasserstein space (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414924000206
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:171:y:2024:i:c:s0304414924000206

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2024.104314

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().