On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players

Vassili N. Kolokoltsov, Marianna Troeva, Wei Yang

Research output: Contribution to journalArticle

16 Citations (Scopus)

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 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.
LanguageEnglish
Pages208-230
Number of pages23
JournalDynamic Games and Applications
Volume4
Issue number2
Early online date1 Oct 2013
DOIs
Publication statusPublished - 1 Dec 2014

Fingerprint

Controlled Diffusions
Mean-field Approximation
Rate of Convergence
Game
Empirical Measures
Nonlinear Process
Nonlinear Diffusion
Optimal Strategy
Nash Equilibrium
Diffusion Process
Mean Field
Model

Keywords

  • nonlinear diffusion
  • kinetic equation
  • forward-backward system
  • dynamic law of large numbers
  • rates of convergence
  • tagged particle

Cite this

Kolokoltsov, Vassili N. ; Troeva, Marianna ; Yang, Wei. / On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players. In: Dynamic Games and Applications . 2014 ; Vol. 4, No. 2. pp. 208-230.
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On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players. / Kolokoltsov, Vassili N.; Troeva, Marianna; Yang, Wei.

In: Dynamic Games and Applications , Vol. 4, No. 2, 01.12.2014, p. 208-230.

Research output: Contribution to journalArticle

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