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 -player equilibria converges to it as . 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 -player equilibria, but we also exhibit a remarkable class of mean field equilibria that are not limits, thus questioning their interpretation as "large " equilibria.
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'