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ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps

Bennazoli, Chiara, Campi, Luciano and Di Persio, Luca (2019) ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps. Statistics and Probability Letters, 154. ISSN 0167-7152

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Identification Number: 10.1016/j.spl.2019.05.021

Abstract

We consider a symmetric n-player nonzero-sum stochastic differential game with jump–diffusion dynamics and mean-field type interaction among the players. Under the assumption of existence of a regular Markovian solution for the corresponding limiting mean-field game, we construct an approximate Nash equilibrium for the n-player game for n large enough, and provide the rate of convergence. This extends to a class of games with jumps classical results in mean-field game literature. This paper complements our previous work Benazzol et al. (2017) on the existence of solutions of mean-field games for jump–diffusions.

Item Type: Article
Additional Information: © 2019 Elsevier B.V
Divisions: Statistics
Subjects: Q Science > QA Mathematics
Date Deposited: 29 May 2019 12:45
Last Modified: 22 Jan 2020 00:24
URI: http://eprints.lse.ac.uk/id/eprint/100901

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