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Applied Mathematics and OptimizationVolume 81, Issue 3, 1 June 2020, Pages 711-738

Deterministic Limit of Mean Field Games Associated with Nonlinear Markov Processes(Article)(Open Access)

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  • aKrasovskii Intitute of Mathematics and Mechanics UrB RAS, 16, S. Kovalevskaya, Yekaterinburg, Russian Federation
  • bUral Federal University, 19, Mira, Yekaterinburg, Russian Federation

Abstract

The paper is concerned with the deterministic limit of mean field games with a nonlocal coupling. It is assumed that the dynamics of mean field games are given by nonlinear Markov processes. This type of games includes stochastic mean field games as well as mean field games with finite state space. We consider the limiting deterministic mean field game within the framework of minimax approach. The concept of minimax solutions is close to the probabilistic formulation. In this case the Hamilton–Jacobi equation is considered in the minimax/viscosity sense, whereas the flow of probabilities is determined by the probability on the set of solutions of the differential inclusion associated with the Hamilton–Jacobi equation such that those solutions are viable in the graph of the minimax solution. The main result of the paper is the convergence (up to subsequence) of the solutions of the mean field games to the minimax solution of a deterministic mean field game in the case when the underlying dynamics converge to the deterministic evolution. © 2018, Springer Science+Business Media, LLC, part of Springer Nature.

Author keywords

Deterministic limitMean field gamesMinimax solutions

Indexed keywords

Engineering controlled terms:Flow graphsStochastic systems
Engineering uncontrolled termsDeterministic limitDifferential inclusionsFinite state spacesMean field gamesMinimaxNonlocal couplingProbabilistic formulationUnderlying dynamics
Engineering main heading:Markov processes
  • ISSN: 00954616
  • CODEN: AMOMB
  • Source Type: Journal
  • Original language: English
  • DOI: 10.1007/s00245-018-9486-9
  • Document Type: Article
  • Publisher: Springer

  Averboukh, Y.; Krasovskii Intitute of Mathematics and Mechanics UrB RAS, 16, S. Kovalevskaya, Yekaterinburg, Russian Federation;
© Copyright 2020 Elsevier B.V., All rights reserved.

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(2021) Proceedings of the Steklov Institute of Mathematics
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