A priori estimates and large population limits for some nonsymmetric Nash systems with semimonotonicity

Abstract

We address the problem of regularity of solutions $u^i(t, x^1, \ldots, x^N)$ to a family of semilinear parabolic systems of $N$ equations, which describe closed-loop equilibria of some $N$-player differential games with quadratic Lagrangian in the velocity, running costs $f^i(x)$ and final costs $g^i(x)$. By global (semi)monotonicity assumptions on the data $f,g$, and assuming that derivatives of $f^i, g^i$ in directions $x_j$ are of order $1/N$ for $j \neq i$, we prove that derivatives of $u^i$ enjoy the same property. The estimates are uniform in the number of players $N$. Such behaviour of the derivatives of $f^i, g^i$ arise in the theory of Mean Field Games, though here we do not make any symmetry assumption on the data. Then, by the estimates obtained we address the convergence problem $N \to \infty$ in a ``heterogeneous'' Mean Field framework, where players all observe the empirical measure of the whole population, but may react differently from one another.Comment: 65 page