N-Player Stochastic Differential Games with Regime Switching and Mean Field Convergence

In this study, we investigate N-player stochastic differential games with regime switching, in which the player dynamics are modulated by a finite-state Markov chain. We analyze the associated Nash system, which consists of a system of coupled nonlinear partial differential equations, and establish the existence and uniqueness of solutions to this system, thereby proving the existence of a unique Nash equilibrium. Additionally, we examine the mean field game (MFG) problem under the same regime-switching framework. We derive a connection between the Nash equilibrium of the MFG and a forward-backward stochastic differential equation with jumps and demonstrate the unique solvability of this equation. Finally, we explore the propagation of chaos and show that the optimal control obtained from the MFG serves as an approximate Nash equilibrium for the N-player problem.

Funding: P. Chakraborty acknowledges support from the National Science Foundation [Grant DMS-2153915] and the Korb Early Career Professorship.