On quasi-stationary Mean Field Games models

TL;DR

This paper studies quasi-stationary Mean Field Games with myopic players, establishing conditions for solutions and demonstrating exponential convergence to equilibrium under specific assumptions.

Contribution

It introduces a new class of quasi-stationary MFG models, providing existence, uniqueness, and convergence results with rigorous derivations from N-player games.

Findings

Existence and uniqueness of classical solutions under certain conditions.

Population converges exponentially fast to the ergodic equilibrium.

Models derived rigorously from N-player stochastic differential games.

Abstract

We explore a mechanism of decision-making in Mean Field Games with myopic players. At each instant, agents set a strategy which optimizes their expected future cost by assuming their environment as immutable. As the system evolves, the players observe the evolution of the system and adapt to their new environment without anticipating. With a specific cost structures, these models give rise to coupled systems of partial differential equations of quasi-stationary nature. We provide sufficient conditions for the existence and uniqueness of classical solutions for these systems, and give a rigorous derivation of these systems from N-players stochastic differential games models. Finally, we show that the population can self-organize and converge exponentially fast to the ergodic Mean Field Games equilibrium, if the initial distribution is sufficiently close to it and the Hamiltonian is quadratic.