On the Asymptotic Nature of First Order Mean Field Games

Abstract

For a class of finite horizon first order mean field games and associated N-player games, we give a simple proof of convergence of symmetric N-player Nash equilibria in distributed open-loop strategies to solutions of the mean field game in Lagrangian form. Lagrangian solutions are then connected with those determined by the usual mean field game system of two coupled first order PDEs, and convergence of Nash equilibria in distributed Markov strategies is established.