## The Annals of Applied Probability

### On the connection between symmetric $N$-player games and mean field games

Markus Fischer

#### Abstract

Mean field games are limit models for symmetric $N$-player games with interaction of mean field type as $N\to \infty$. The limit relation is often understood in the sense that a solution of a mean field game allows to construct approximate Nash equilibria for the corresponding $N$-player games. The opposite direction is of interest, too: When do sequences of Nash equilibria converge to solutions of an associated mean field game? In this direction, rigorous results are mostly available for stationary problems with ergodic costs. Here, we identify limit points of sequences of certain approximate Nash equilibria as solutions to mean field games for problems with Itô-type dynamics and costs over a finite time horizon. Limits are studied through weak convergence of associated normalized occupation measures and identified using a probabilistic notion of solution for mean field games.

#### Article information

Source
Ann. Appl. Probab., Volume 27, Number 2 (2017), 757-810.

Dates
Revised: April 2016
First available in Project Euclid: 26 May 2017

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1495764366

Digital Object Identifier
doi:10.1214/16-AAP1215

Mathematical Reviews number (MathSciNet)
MR3655853

Zentralblatt MATH identifier
1375.91009

#### Citation

Fischer, Markus. On the connection between symmetric $N$-player games and mean field games. Ann. Appl. Probab. 27 (2017), no. 2, 757--810. doi:10.1214/16-AAP1215. https://projecteuclid.org/euclid.aoap/1495764366

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