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arxiv: 1112.3744 · v2 · pith:JEZBJOVPnew · submitted 2011-12-16 · 🧮 math.PR

Mean Field Games and Nonlinear Markov Processes

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keywords agentsnonlinearfieldgameslargemarkovmeanapproximating
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In this paper, we investigate the mean field games with $K$ classes of agents who are weakly coupled via the empirical measure. The underlying dynamics of the representative agents is assumed to be a controlled nonlinear Markov process associated with rather general integro-differential generators of L\'evy-Khintchine type (with variable coefficients). We show that nonlinear measure-valued kinetic equations describing the dynamic law of large numbers limit for system with large number N of agents are solvable and that their solutions represent 1/N-Nash equilibria for approximating systems of N agents.

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