N-PLAYER GAMES AND MEAN-FIELD GAMES WITH ABSORPTION

• 成果类型: Article
• 署名作者: Campi, Luciano; Fischer, Markus
• 署名单位: University of London; London School Economics & Political Science; University of Padua
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/17-AAP1354
• 发表日期: 2018
• 页码: 2188-2242
• 关键词: random terminal time

摘要

We introduce a simple class of mean-field games with absorbing boundary over a finite time horizon. In the corresponding N-player games, the evolution of players' states is described by a system of weakly interacting Ito equations with absorption on first exit from a bounded open set. Once a player exits, her/his contribution is removed from the empirical measure of the system. Players thus interact through a renormalized empirical measure. In the definition of solution to the mean-field game, the renormalization appears in form of a conditional law. We justify our definition of solution in the usual way, that is, by showing that a solution of the mean-field game induces approximate Nash equilibria for the N-player games with approximation error tending to zero as N tends to infinity. This convergence is established provided the diffusion coefficient is nondegenerate. The degenerate case is more delicate and gives rise to counter-examples.