2026/08/04 by Roxana Dumitrescu, Julian Gutierrez Pineda, Peter Tankov
Mathematics · #math.OC #msc:49N80
arxiv created 2026/08/04 · arxiv updated 2026/08/05
We propose a framework for constructing approximate Nash equilibria in mean-field games (MFG) with common noise based on a two-time-scale structure. In our model, the common noise is carried by a fast variable evolving under ergodic dynamics, while the slow variable is either optimally controlled or stopped. The fast variable enters the dynamics of the slow one through the drift coefficient. The key idea is to construct an approximation to the solution of the full MFG with common noise using an ``effective'' MFG without common noise, where the coefficients are averaged with respect to the stationary measure of the fast-scale process. We construct an explicit ε-MFG equilibrium for the full MFG from the equilibrium for the effective MFG with randomized control and stopping. To this end, we obtain new results on existence of MFG equilibria with randomized stopping. We rely on strong convergence results for two-scale diffusions under structural assumptions on the MFG, and show that the time-scale separation parameter controls the error in the Nash equilibrium condition.