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Convergence to the Mean Field Game Limit: A Case Study

When: 

Oct 19, 2018 - 1:00pm to 2:00pm

Where: 

Rettaliata Engineering Center, Room 242

Speaker: 

Marcel Nutz
Department of Statistics and Department of Mathematics, Columbia University

Description: 

Mean field games are generally interpreted as approximations to \(n\)-player games with large \(n\). Indeed, \(n\)-player Nash equilibria are known to converge to their mean field counterpart when the latter is unique. In this talk we study a specific stochastic game where both the finite and infinite player versions naturally admit multiple equilibria. It turns out that mean field equilibria satisfying a transversality condition are indeed limits of n-player equilibria, but we also find a complementary class of equilibria that are not limits, thus questioning their interpretation as large n equilibria. (Joint work with Jaime San Martin and Xiaowei Tan)

Event Type: 

Department of Applied Mathematics - Mathematical Finance and Stochastic Analysis Seminar