Large deviations principle for discrete-time mean-field games

Name: Large deviations principle for discrete-time mean-field games
Author: Saldı, Naci

İsim	Large deviations principle for discrete-time mean-field games
Yazar	Saldı, Naci
Basım Tarihi:	2021-11
Basım Yeri	- Springer
Konu	Interacting particle systems, Large deviations principle, Mean-field games
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	0167-6911
Kayıt Numarası	658a1fe8-ce85-4c63-8dc6-643089638b18
Lokasyon	Natural and Mathematical Sciences
Tarih	2021-11
Örnek Metin	In this paper, we establish a large deviations principle (LDP) for interacting particle systems that arise from state and action dynamics of discrete-time mean-field games under the equilibrium policy of the infinite-population limit. The LDP is proved under weak Feller continuity of state and action dynamics. The proof is based on transferring LDP for empirical measures of initial states and noise variables under setwise topology to the original game model via contraction principle, which was first suggested by Delarue, Lacker, and Ramanan to establish LDP for continuous-time mean-field games under common noise. We also compare our work with LDP results established in prior literature for interacting particle systems, which are in a sense uncontrolled versions of mean-field games.
DOI	10.1016/j.sysconle.2021.105042
Cilt	157

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Large deviations principle for discrete-time mean-field games

Yazar Saldı, Naci

Basım Tarihi 2021-11

Basım Yeri - Springer

Konu Interacting particle systems, Large deviations principle, Mean-field games

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 0167-6911

Kayıt Numarası 658a1fe8-ce85-4c63-8dc6-643089638b18

Lokasyon Natural and Mathematical Sciences

Tarih 2021-11

Örnek Metin In this paper, we establish a large deviations principle (LDP) for interacting particle systems that arise from state and action dynamics of discrete-time mean-field games under the equilibrium policy of the infinite-population limit. The LDP is proved under weak Feller continuity of state and action dynamics. The proof is based on transferring LDP for empirical measures of initial states and noise variables under setwise topology to the original game model via contraction principle, which was first suggested by Delarue, Lacker, and Ramanan to establish LDP for continuous-time mean-field games under common noise. We also compare our work with LDP results established in prior literature for interacting particle systems, which are in a sense uncontrolled versions of mean-field games.

DOI 10.1016/j.sysconle.2021.105042

Cilt 157