A locality generalization of the NCE (Mean Field) principle: Agent specific cost interactions

We study large population stochastic dynamic games with agent specific cost coupling where each agent assigns nonuniform weights to other agents to indicate locality related interactions. The nash certainty equivalence (mean field) methodology is generalized to this framework to give decentralized individual strategies. The key step is the specification of a family of consistent individual controls which depend upon each agent¿s state and upon the aggregate effect of the other agents as locally received by that agent. This methodology has close connections with the mean field models studied by lasry and lions (2006, 2007) and the notion of oblivious equilibrium proposed by Weintraub, Benkard, and Van Roy (2005, 2007) via a mean field approximation.