Mathematical Finance Seminar
TU Berlin, Room MA 313 (Straße des 17. Juni 136, 10623 Berlin)
Luciano Campi (LSE)

N-player games and mean-field games with smooth dependence on past absorptions

Mean-field games with absorption is a class of games, that have been introduced in Campi and Fischer (2018) and that can be viewed as natural limits of symmetric stochastic differential games with a large number of players who, interacting through a mean-field, leave the game as soon as their private states hit some given boundary. In this paper, we push the study of such games further, extending their scope along two main directions. First, a direct dependence on past absorptions has been introduced in the drift of players' state dynamics. Second, the boundedness of coefficients and costs has been considerably relaxed including drift and costs with linear growth. Therefore, the mean-field interaction among the players takes place in two ways: via the empirical sub-probability measure of the surviving players and through a process representing the fraction of past absorptions over time. Moreover, relaxing the boundedness of the coefficients allows for more realistic dynamics for players' private states. We prove existence of solutions of the mean-field game in strict as well as relaxed feedback form. Finally, we show that such solutions induce approximate Nash equilibria for the N-player game with vanishing error in the mean-field limit as $N \to \infty$. This talk is based on a joint work with M. Ghio and G. Livieri (SNS Pisa).