The paper deals with systems composed of a large number of N interacting objects (e.g., agents, particles) controlled by two players defining a stochastic zero-sum game. The objects can be classified according to a finite set of classes or categories over which they move randomly. Because N is too large, the game problem is studied following a mean field approach. That is, a zero-sum game model GMN, where the states are the proportions of objects in each class, is introduced. Then, letting N→ ∞ (the mean field limit) we obtain a new game model GM, independent on N, which is easier to analyze than GMN. Considering a discounted optimality criterion, our objective is to prove that an optimal pair of strategies in GM is an approximate optimal pair as N→ ∞ in the original game model GMN.
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