$N$-player games and mean field games with absorption

TL;DR

This paper introduces a class of mean field games with absorbing boundaries, analyzing their relation to finite N-player games, and establishing convergence of solutions to approximate Nash equilibria under certain conditions.

Contribution

It defines a new class of mean field games with absorption, introduces a renormalized empirical measure, and proves convergence to approximate Nash equilibria as N grows large.

Findings

Convergence of mean field game solutions to approximate Nash equilibria for non-degenerate diffusions.

Counter-examples in the degenerate diffusion case.

A new framework for mean field games with absorption boundaries.

Abstract

We introduce a simple class of mean field games with absorbing boundary over a finite time horizon. In the corresponding $N$-player games, the evolution of players' states is described by a system of weakly interacting It\^o equations with absorption on first exit from a bounded open set. Once a player exits, her/his contribution is removed from the empirical measure of the system. Players thus interact through a renormalized empirical measure. In the definition of solution to the mean field game, the renormalization appears in form of a conditional law. We justify our definition of solution in the usual way, that is, by showing that a solution of the mean field game induces approximate Nash equilibria for the $N$-player games with approximation error tending to zero as $N$ tends to infinity. This convergence is established provided the diffusion coefficient is non-degenerate. The degenerate case is more delicate and gives rise to counter-examples.