Finite State Mean Field Games with Wright–Fisher Common Noise as Limits of N-Player Weighted Games

Published Online:https://doi.org/10.1287/moor.2021.1230

References

  • [1] Bayraktar E, Cohen A (2018) Analysis of a finite state many player game using its master equation. SIAM J. Control Optim. 56(5):3538–3568.CrossrefGoogle Scholar
  • [2] Bayraktar E, Zhang X (2020) On non-uniqueness in mean field games. Proc. Amer. Math. Soc. 148(9):4091–4106.CrossrefGoogle Scholar
  • [3] Bayraktar E, Cecchin A, Cohen A, Delarue F (2021) Finite state mean field games with Wright-Fisher common noise. J. Mathématiques Pures Appliquées 147:98–162.CrossrefGoogle Scholar
  • [4] Belak C, Hoffmann D, Seifried FT (2021) Continuous-time mean field games with finite state space and common noise. Appl. Math. Optim. 84(3):3173–3216.CrossrefGoogle Scholar
  • [5] Bertucci C (2018) Optimal stopping in mean field games, an obstacle problem approach. J. Mathématiques Pures Appliquées 120:165–194.CrossrefGoogle Scholar
  • [6] Bertucci C, Lasry J-M, Lions P-L (2019) Some remarks on mean field games. Comm. Partial Differential Equations 44(3):205–227.CrossrefGoogle Scholar
  • [7] Campi L, Fischer M (2018) N-player games and mean-field games with absorption. Ann. Appl. Probab. 28(4):2188–2242.CrossrefGoogle Scholar
  • [8] Cardaliaguet P, Delarue F, Lasry J-M, Lions P-L (2019) The Master Equation and the Convergence Problem in Mean Field Games, Annals of Mathematics Studies, vol. 201 (Princeton University Press, Princeton, NJ).Google Scholar
  • [9] Carmona R, Delarue F (2018) Probabilistic Theory of Mean Field Games with Applications I: Mean Field FBSDEs, Control, and Games, Probability Theory and Stochastic Modelling, vol. 83 (Springer, Cham, Switzerland).Google Scholar
  • [10] Carmona R, Delarue F (2018) Probabilistic Theory of Mean Field Games with Applications II: Mean Field Games with Common Noise and Master Equations, Probability Theory and Stochastic Modelling, vol. 84 (Springer, Cham, Switzerland).CrossrefGoogle Scholar
  • [11] Cecchin A, Delarue F (2022) Selection by vanishing common noise for potential finite state mean field games. Comm. Partial Differential Equations 47(1):89–168.Google Scholar
  • [12] Cecchin A, Fischer M (2020) Probabilistic approach to finite state mean field games. Appl. Math. Optim. 81(2):253–300.CrossrefGoogle Scholar
  • [13] Cecchin A, Pelino G (2019) Convergence, fluctuations and large deviations for finite state mean field games via the master equation. Stochastic Processes Their Appl. 129(11):4510–4555.CrossrefGoogle Scholar
  • [14] Cecchin A, Dai Pra P, Fischer M, Pelino G (2019) On the convergence problem in mean field games: A two state model without uniqueness. SIAM J. Control Optim. 57(4):2443–2466.CrossrefGoogle Scholar
  • [15] Chassagneux J-F, Szpruch L, Tse A (2022) Weak quantitative propagation of chaos via differential calculus on the space of measures. Ann. Appl. Probab. Forthcoming.Google Scholar
  • [16] Claisse J, Ren Z, Tan X (2019) Mean field games with branching. Preprint, submitted December 26, https://arxiv.org/abs/1912.11893.Google Scholar
  • [17] Delarue F (2021) Master equation for finite state mean field games with additive common noise. Cardaliaguet P, Porretta A, eds. Mean Field Games, Cetraro, Italy 2019, Lecture Notes in Mathematics, vol. 2281 (Springer, Cham, Switzerland), 203–248.Google Scholar
  • [18] Delarue F, Lacker D, Ramanan K (2019) From the master equation to mean field game limit theory: A central limit theorem. Electronic J. Probab. 24:1–54.CrossrefGoogle Scholar
  • [19] Delarue F, Lacker D, Ramanan K (2020) From the master equation to mean field game limit theory: Large deviations and concentration of measure. Ann. Probab. 48(1):211–263.CrossrefGoogle Scholar
  • [20] Epstein CL, Mazzeo R (2013) Degenerate Diffusion Operators Arising in Population Biology, Annals of Mathematics Studies, vol. 185 (Princeton University Press, Princeton, NJ).CrossrefGoogle Scholar
  • [21] Ethier SN, Kurtz TG (1986) Markov Processes: Characterization and Convergence, Wiley Series in Probability and Mathematical Statistics: Probability and Mathematical Statistics (John Wiley & Sons, Inc., New York).CrossrefGoogle Scholar
  • [22] Fischer M (2017) On the connection between symmetric n-player games and mean field games. Ann. Appl. Probab. 127(2):757–810.Google Scholar
  • [23] Fisher RA (1999) The Genetical Theory of Natural Selection, variorum ed. Bennett JH, ed. (Oxford University Press, Oxford, UK).Google Scholar
  • [24] Huang M, Caines PE, Malhamé RP (2007) The Nash certainty equivalence principle and Mckean-Vlasov systems: An invariance principle and entry adaptation. Parisini T, ed. Proc. 46th IEEE Conf. Decision Control (IEEE, New Orleans, LA), 121–126.Google Scholar
  • [25] Huang M, Malhamé RP, Caines PE (2006) Large population stochastic dynamic games: Closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle. Comm. Inform. Systems 6(3):221–251.CrossrefGoogle Scholar
  • [26] Kurtz TG, Xiong J (2001) Numerical solutions for a class of SPDEs with application to filtering. Hida T, Karandikar RL, Kunita H, Rajput BS, Watanabe S, Xiong J, eds. Stochastics in Finite and Infinite Dimensions, Trends in Mathematics (Birkhäuser, Boston), 233–258.CrossrefGoogle Scholar
  • [27] Lacker D (2016) A general characterization of the mean field limit for stochastic differential games. Probab. Theory Related Fields 165(3–4):581–648.CrossrefGoogle Scholar
  • [28] Lacker D (2017) Limit theory for controlled McKean-Vlasov dynamics. SIAM J. Control Optim. 55(3):1641–1672.CrossrefGoogle Scholar
  • [29] Lacker D (2020) On the convergence of closed-loop Nash equilibria to the mean field game limit. Ann. Appl. Probab. 30(4):1693–1761.CrossrefGoogle Scholar
  • [30] Lasry J-M, Lions P-L (2006) Jeux à champ moyen. I. Le cas stationnaire. Comptes Rendus Mathematique 343(9):619–625.CrossrefGoogle Scholar
  • [31] Lasry J-M, Lions P-L (2006) Jeux à champ moyen. II. Horizon fini et contrôle optimal. Comptes Rendus Mathematique 343(10):679–684.CrossrefGoogle Scholar
  • [32] Nutz M (2018) A mean field game of optimal stopping. SIAM J. Control Optim. 56(2):1206–1221.CrossrefGoogle Scholar
  • [33] Petrov VV (1995) Limit Theorems of Probability Theory: Sequences of Independent Random Variables, Oxford Studies in Probability, vol. 4 (The Clarendon Press, New York).Google Scholar
  • [34] Sznitman A-S (1991) Topics in propagation of chaos. Hennequin PL, ed. Ecole d’été de probabilités de Saint-Flour XIX–1989 (Springer, Berlin), 165–251.CrossrefGoogle Scholar
  • [35] Wright S (1931) Evolution in Mendelian populations. Genetics 16(2):97–159.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.