Long time behavior in mean field games systems
Location
Mean field games systems were introduced by J-M. Lasry and P.-L. Lions
to describe Nash equilibria in multi-agents dynamic optimization. In the
simplest model, those are forward-backward systems coupling
Hamilton-Jacobi with Fokker-Planck equations.
In this talk I will discuss the long time behavior of second order
systems in the periodic case under suitable stability conditions. I will
go through the main features that appear in the study of the long time
limit: the ergodic behavior, the effects of the forward-backward
structure, the exponential turnpike property of the underlying control
problem and the link with the vanishing discount limit in infinite
horizon problems. Eventually, I will explain how the problem can be
lifted by looking at the long time convergence of the master equation
and the feedback operator.