English

Convergence to the Mean Field Game Limit: A Case Study

Optimization and Control 2019-05-30 v2 Probability Mathematical Finance

Abstract

We study the convergence of Nash equilibria in a game of optimal stopping. If the associated mean field game has a unique equilibrium, any sequence of nn-player equilibria converges to it as nn\to\infty. However, both the finite and infinite player versions of the game often admit multiple equilibria. We show that mean field equilibria satisfying a transversality condition are limit points of nn-player equilibria, but we also exhibit a remarkable class of mean field equilibria that are not limits, thus questioning their interpretation as "large nn" equilibria.

Keywords

Cite

@article{arxiv.1806.00817,
  title  = {Convergence to the Mean Field Game Limit: A Case Study},
  author = {Marcel Nutz and Jaime San Martin and Xiaowei Tan},
  journal= {arXiv preprint arXiv:1806.00817},
  year   = {2019}
}

Comments

Forthcoming in 'Annals of Applied Probability'

R2 v1 2026-06-23T02:17:24.703Z