In this paper we consider symmetric games where a large number of players can be in any one of d states. We derive a limiting mean field model and characterize its main properties. This mean field limit is a system of coupled ordinary differential equations with initial-terminal data. For this mean field problem we prove a trend to equilibrium theorem, that is convergence, in an appropriate limit, to stationary solutions. Then we study the N +1-player problem, which the mean field model attempts to approximate. Our main result is the convergence as N → ∞ of the mean field model and an estimate of the rate of convergence. We end the paper with some further examples for potential mean field games. D.
The paper REF studies the continuous-time, finite state version of mean field game theory.
Continuous time finite state mean field games
Applied Mathematics&Optimization August 2013, Volume 68, Issue 1, pp 99-143
Mathematics