ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps

Chiara Benazzoli, Luciano Campi and Luca Di Persio

Statistics & Probability Letters, 2019, vol. 154, issue C, -

Abstract: We consider a symmetric n-player nonzero-sum stochastic differential game with jump–diffusion dynamics and mean-field type interaction among the players. Under the assumption of existence of a regular Markovian solution for the corresponding limiting mean-field game, we construct an approximate Nash equilibrium for the n-player game for n large enough, and provide the rate of convergence. This extends to a class of games with jumps classical results in mean-field game literature. This paper complements our previous work Benazzol et al. (2017) on the existence of solutions of mean-field games for jump–diffusions.

Keywords: Stochastic differential games; Nash equilibrium; Mean-field games; Marked point processes; Jump measures (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.05.021

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