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- W3181839803 abstract "This paper studies the convergence problem for mean field games with common noise. We define a suitable notion of weak mean field equilibria, which we prove captures all subsequential limit points, as n→∞, of closed-loop approximate equilibria from the corresponding n-player games. This extends to the common noise setting a recent result of the first author, while also simplifying a key step in the proof and allowing unbounded coefficients and non-i.i.d. initial conditions. Conversely, we show that every weak mean field equilibrium arises as the limit of some sequence of approximate equilibria for the n-player games, as long as the latter are formulated over a broader class of closed-loop strategies which may depend on an additional common signal." @default.
- W3181839803 created "2021-07-19" @default.
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- W3181839803 date "2023-08-01" @default.
- W3181839803 modified "2023-09-26" @default.
- W3181839803 title "Closed-loop convergence for mean field games with common noise" @default.
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- W3181839803 doi "https://doi.org/10.1214/22-aap1876" @default.
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