On the population size in stochastic differential games

Abstract

Commuters looking for the shortest path to their destinations, the security of networked computers, hedge funds trading on the same stocks, governments and populations acting to mitigate an epidemic, or employers and employees agreeing on a contact, are all examples of (dynamic) stochastic differential games. In essence, game theory deals with the analysis of strategic interactions among multiple decision-makers. The theory has had enormous impact in a wide variety of fields, but its rigorous mathematical analysis is rather recent. It started with the pioneering work of von Neumann and Morgenstern published in 1944. Since then, game theory has taken centre stage in applied mathematics and related areas. Game theory has also played an important role in unsuspected areas: for instance in military applications, when the analysis of guided interceptor missiles in the 1950s motivated the study of games evolving dynamically in time. Such games (when possibly subject to randomness) are called stochastic differential games. Their study started with the work of Issacs, who crucially recognised the importance of (stochastic) control theory in the area. Over the past few decades since Isaacs's work, a rich theory of stochastic differential game has emerged and branched into several directions. This paper will review recent advances in the study of solvability of stochastic differential games, with a focus on a purely probabilistic technique to approach the problem. Unsurprisingly, the number of players involved in the game is a major factor of the analysis. We will explain how the size of the population impacts the analyses and solvability of the problem, and discuss mean field games as well as the convergence of finite player games to mean field games.