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Abstract. We investigate mean field games from the point of view of a large number of indistinguishable players which eventually converges to infinity. The players are weakly coupled via their empirical measure. The dynamics of the individual players is governed by pure jump type propagators over a finite space. Investigations are conducted in the framework of non-linear Markov processes. We show that the individual optimal strategy results from a consistent coupling of an optimal control problem with a forward non-autonomous dynamics. In the limit as the number N of players goes to infinity this leads to a jump-type analog of the well-known non-linear McKean-Vlasov dynamics. The case where one player has an individual preference different from the ones of the remaining players is also covered. The two results combined reveal a 1 N -Nash Equilibrium for the approximating system of N players.

Motivated by the Brownian bridge on random interval considered by Bedini et al [4], we introduce and study Gaussian bridges with random length with special emphasis to the Markov property. We prove that if the starting process is Markov then this property was kept by the bridge with respect to the usual augmentation of its natural filtration. This leads us to conclude that the completed natural filtration of the bridge satisfies the usual conditions of right-continuity and completeness.

We investigate mean-field games from the point of view of a large number of indistinguishable players, which eventually converges to infinity. The players are weakly coupled via their empirical measure. The dynamics of the states of the individual players is governed by a non-autonomous pure jump type semi group in a Euclidean space, which is not necessarily smoothing. Investigations are conducted in the framework of non-linear Markov processes. We show that the individual optimal strategy results from a consistent coupling of an optimal control problem with a forward non-autonomous dynamics. In the limit as the number N of players goes to infinity this leads to a jump-type analog of the well-known non-linear McKean-Vlasov dynamics. The case where one player has an individual preference different from the ones of the remaining players is also covered. The two results combined reveal an epsilon-Nash Equilibrium for the Nplayer games.Mathematics Subject Classification (2010): 91A22, 91A13, 91A15, 60J75, 60J25.

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