On the Rate of Convergence for the Mean-Field Approximation of Controlled Diffusions with Large Number of Players

Vassili Kolokoltsov (), Marianna Troeva () and Wei Yang ()

Dynamic Games and Applications, 2014, vol. 4, issue 2, 208-230

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. Copyright Springer Science+Business Media New York 2014

Keywords: Nonlinear diffusion; Kinetic equation; Forward-backward system; Dynamic law of large numbers; Rates of convergence; Tagged particle; ϵ-Nash equilibrium (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s13235-013-0095-6

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