Linear Quadratic Mean Field Games:Decentralized O(1/N)-Nash Equilibria

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This paper studies an asymptotic solvability problem for linear quadratic(LQ)mean field games with controlled diffusions and indefinite weights for the state and control in the costs.The authors employ a rescaling approach to derive a low dimensional Riccati ordinary differential equation(ODE)system,which characterizes a necessary and sufficient condition for asymptotic solvability.The rescaling technique is further used for performance estimates,establishing an O(1/N)-Nash equilibrium for the obtained decentralized strategies.
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