Mean field games based on the stable-like processes

Vassili N. Kolokoltsov ; Marianna S. Troeva ; Wei Yang

Matematičeskaâ teoriâ igr i eë priloženiâ, Tome 5 (2013) no. 4, pp. 33-65.

Résumé

We investigate the mean field games of $N$ agents based on the nonlinear stable-like processes. The main result of the paper is in the statement that any solution of the limiting mean field consistency equation generates a $1/N$-Nash equilibrium for the approximating game of $N$ agents.

Détail

Keywords: stable-like processes, kinetic equation, forward-backward system, dynamic law of large numbers, rates of convergence, tagged particle, $\varepsilon$-Nash equilibrium.

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