Translation invariant mean field games with common noise

This note highlights a special class of mean field games in which the coefficients satisfy a convolution-type structural condition. A mean field game of this type with common noise is related to a certain mean field game without common noise by a simple transformation, which permits a tractable construction of a solution of the problem with common noise from a solution of the problem without

A probabilistic weak formulation of mean field games and applications

Mean field games are studied by means of the weak formulation of stochastic optimal control. This approach allows the mean field interactions to enter through both state and control processes and take a form which is general enough to include rank and nearest-neighbor effects. Moreover, the data may depend discontinuously on the state variable, and more generally its entire history. Existence and uniqueness results are proven, along with a procedure for identifying and constructing distributed strategies which provide approximate Nash equlibria for finite-player games. Our results are applied to a new class of multi-agent price impact models and a class of flocking models for which we prove existence of equilibria

Local weak convergence and propagation of ergodicity for sparse networks of interacting processes

We study the limiting behavior of interacting particle systems indexed by large sparse graphs, which evolve either according to a discrete time Markov chain or a diffusion, in which particles interact directly only with their nearest neighbors in the graph. To encode sparsity we work in the framework of local weak convergence of marked (random) graphs. We show that the joint law of the particle system varies continuously with respect to local weak convergence of the underlying graph. In addition, we show that the global empirical measure converges to a non-random limit, whereas for a large class of graph sequences including sparse Erd\"{o}s-R\'{e}nyi graphs and configuration models, the empirical measure of the connected component of a uniformly random vertex converges to a random limit. Finally, on a lattice (or more generally an amenable Cayley graph), we show that if the initial configuration of the particle system is a stationary ergodic random field, then so is the configuration of particle trajectories up to any fixed time, a phenomenon we refer to as "propagation of ergodicity". Along the way, we develop some general results on local weak convergence of Gibbs measures in the uniqueness regime which appear to be new.Comment: 46 pages, 1 figure. This version of the paper significantly extends the convergence results for diffusions in v1, and includes new results on propagation of ergodicity and discrete-time models. The complementary results in v1 on autonomous characterization of marginal dynamics of diffusions on trees and generalizations thereof are now presented in a separate paper arXiv:2009.1166

Mean field games with common noise

A theory of existence and uniqueness is developed for general stochastic differential mean field games with common noise. The concepts of strong and weak solutions are introduced in analogy with the theory of stochastic differential equations, and existence of weak solutions for mean field games is shown to hold under very general assumptions. Examples and counter-examples are provided to enlighten the underpinnings of the existence theory. Finally, an analog of the famous result of Yamada and Watanabe is derived, and it is used to prove existence and uniqueness of a strong solution under additional assumptions