Minimax Theory and its Applications 03 (2018), No. 2, 285--312
Copyright Heldermann Verlag 2018
On the Turnpike Property for Mean Field Games
Dip. di Matematica, UniversitÓ di Roma "Tor Vergata", via della Ricerca Scientifica 1, 00133 Roma, Italy
We consider the behavior of mean field games systems in the long horizon, under the assumption of monotonicity of the coupling term. Assuming that the Hamiltonian is globally Lipschitz and locally uniformly convex, we show that the time dependent solution is exponentially close to the ergodic stationary state in the long intermediate stages. This is evidence of the so-called exponential turnpike property for optimal control problems. Indeed, our proof follows a general approach which relies on the stabilization through the Riccati feedback of the associated linearized system.
Keywords: Mean field games, monotonicity, ergodic stationary state, exponential turnpike property, optimal control.
MSC: 49J20, 49J35
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