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Dynamic Games and Applications

, Volume 4, Issue 2, pp 208–230 | Cite as

On the Rate of Convergence for the Mean-Field Approximation of Controlled Diffusions with Large Number of Players

  • Vassili N. Kolokoltsov
  • Marianna Troeva
  • Wei YangEmail author
Article

Abstract

In this paper, we investigate the mean field games of N agents who are weakly coupled via the empirical measures. The underlying dynamics of the representative agent is assumed to be a controlled nonlinear diffusion process with variable coefficients. We show that individual optimal strategies based on any solution of the main consistency equation for the backward-forward mean filed game model represent a 1/N-Nash equilibrium for approximating systems of N agents.

Keywords

Nonlinear diffusion Kinetic equation Forward-backward system Dynamic law of large numbers Rates of convergence Tagged particle ϵ-Nash equilibrium 

Notes

Acknowledgements

The research of Vassili N. Kolokoltsov has been partially supported by IPI of the Russian Academy of Science, Russian Foundation for Basic Research (Grants No. 11-01-12026, No. 12-07-00115), and the Ministry of Education and Science of the Russian Federation (Grant No. 4402). The research of Marianna Troeva has been partially supported by the Ministry of Education and Science of the Russian Federation (Grant No. 4402).

The authors also would like to thank the referees for their valuable suggestions.

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  • Vassili N. Kolokoltsov
    • 1
  • Marianna Troeva
    • 2
  • Wei Yang
    • 3
    Email author
  1. 1.Department of StatisticsUniversity of WarwickCoventryUK
  2. 2.North-Eastern Federal UniversityYakutskRussia
  3. 3.Department of Mathematics and StatisticsUniversity of StrathclydeGlasgowUK

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