KAUST DepartmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Applied Mathematics and Computational Science Program
Online Publication Date2013-04-23
Print Publication Date2013-08
Permanent link to this recordhttp://hdl.handle.net/10754/562726
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AbstractIn this paper we consider symmetric games where a large number of players can be in any one of d states. We derive a limiting mean field model and characterize its main properties. This mean field limit is a system of coupled ordinary differential equations with initial-terminal data. For this mean field problem we prove a trend to equilibrium theorem, that is convergence, in an appropriate limit, to stationary solutions. Then we study an N+1-player problem, which the mean field model attempts to approximate. Our main result is the convergence as N→∞ of the mean field model and an estimate of the rate of convergence. We end the paper with some further examples for potential mean field games. © 2013 Springer Science+Business Media New York.
CitationGomes, D. A., Mohr, J., & Souza, R. R. (2013). Continuous Time Finite State Mean Field Games. Applied Mathematics & Optimization, 68(1), 99–143. doi:10.1007/s00245-013-9202-8
SponsorsD. Gomes was partially supported by CAMGSD-LARSys through FCT-Portugal and by grants PTDC/MAT-CAL/0749/2012, UTA-CMU/MAT/0007/2009 PTDC/MAT/114397/2009, UTAustin-MAT/0057/2008, and by the bilateral agreement Brazil-Portugal (CAPES-FCT) 248/09. R.R.S. was partially supported by the bilateral agreement Brazil-Portugal (CAPES-FCT) 248/09. J.M. was partially supported by the bilateral agreement Brazil-Portugal (CAPES-FCT) 248/09.
PublisherSpringer Science and Business Media LLC