KTH Mathematics

N-player games and mean field games with absorption L Campi, M Fischer arxiv::1612.03816 Summary: All players live in an open set until they exit. When they exit, they leave the game. Contributions: 1) Limit model for N-player game as N->oo. The empirical measure process pi(t, A) converges to P(MF dynamics(t) in A | first exit time > t). 2) When the diffusion matrix is constant and full rank, feedback solution to MFG induces a sequence of approximate Nash equilibria. Error vanishes as number of player increases 3) If the diffusion matrix is of full rank, there exists a solution in feedback form to the MFG with absorption. Under more conditions, the solution is Markovian and continuous in x. A counterexample to existence of an approximating sequence when the diffusion matrix is of full rank is provided. List of papers Front page

Published by: Alexander Aurell Updated: 27-03-2018