The purpose of this paper is to provide a complete probabilistic analysis of a large class of stochastic differential games for which the interaction between the players is of mean-field type. We implement the Mean-Field Games strategy developed analytically by Lasry and Lions in a purely probabilistic framework, relying on tailor-made forms of the stochastic maximum principle. While we assume that the state dynamics are affine in the states and the controls, our assumptions on the nature of the costs are rather weak, and surprisingly, the dependence of all the coefficients upon the statistical distribution of the states remains of a rather general nature. Our probabilistic approach calls for the solution of systems of forward-backward stochastic differential equations of a McKean-Vlasov type for which no existence result is known, and for which we prove existence and regularity of the corresponding value function. Finally, we prove that solutions of the mean-field game as formulated by Lasry and Lions do indeed provide approximate Nash equilibriums for games with a large number of players, and we quantify the nature of the approximation.
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