Selected topics in transport phenomena: deterministic and probabilistic aspects


Fluctuations and deviations in mean field games

Fran├žois Delarue

University of Nice Sophia Antipolis
[SLIDES]

Abstract:  

We address the fluctuations and large deviations in mean field games. Using earlier results on the convergence of finite player games, we prove a central limit theorem and a large deviation principle for the empirical measures of the finite player equilibria in the case when the so-called master equation for the limiting game has a smooth enough solution. This is a joint work with Daniel Lacker from Brown University.