Mean Field Games with Ergodic cost for Discrete Time Markov Processes

Anup Biswas

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arXiv · 1510.08968

Mean Field Games with Ergodic cost for Discrete Time Markov Processes

Anup Biswas

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Abstract

We consider mean field games with ergodic cost in the framework of a general discrete time controlled Markov processes. The state space of the processes is given by a general $\sigma$-compact Polish space. Under certain conditions, we show the existence of a mean field game equilibrium. We also study the $N$-person game where the players interacts with each other via their empirical measure. We show that the $N$-person game has Nash equilibrium and as $N$ tends to infinity the equilibria converge to a mean field game solution.

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BibTeX RIS

Anup Biswas. 2015-10-30. Mean Field Games with Ergodic cost for Discrete Time Markov Processes. https://arxiv.org/abs/1510.08968

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