On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players
Kolokoltsov, Vassili N. and 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, 4 (2). pp. 208-230. ISSN 2153-0785 (https://doi.org/10.1007/s13235-013-0095-6)
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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 coeffcients. We show that individual optimal strategies based on any solution of the main consistency equation for the backward-forward mean led game model represent a 1=N-Nash equilibrium for approximating systems of N agents.
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Item type: Article ID code: 46560 Dates: DateEvent1 December 2014Published1 October 2013Published OnlineSubjects: Science > Mathematics > Probabilities. Mathematical statistics Department: Faculty of Science > Mathematics and Statistics Depositing user: Pure Administrator Date deposited: 24 Jan 2014 11:04 Last modified: 28 Jul 2024 00:57 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/46560