Some Remarks on Linear-Quadratic Closed-Loop Games with Many Players

Abstract

AbstractWe identify structural assumptions which provide solvability of the Nash system arising from a linear-quadratic closed-loop game, with stable properties with respect to the number of players. In a setting of interactions governed by a sparse graph, both short-time and long-time existence of a classical solution for the Nash system set in infinitely many dimensions are addressed, as well as convergence to the solution to the respective ergodic problem as the time horizon goes to infinity; in addition, equilibria for the infinite-dimensional game are shown to provide $$\epsilon $$ ϵ -Nash closed-loop equilibria for the N-player game. In a setting of generalized mean-field type (where the number of interactions is large but not necessarily symmetric), directly from the N-player Nash system estimates on the value functions are deduced on an arbitrary large time horizon, which should pave the way for a convergence result as N goes to infinity.