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

Research paper by Vassili N. Kolokoltsov, Marianna Troeva, Wei Yang

Indexed on: 30 Oct '13Published on: 30 Oct '13Published in: Dynamic Games and Applications



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.