Rate of convergence for first-order singular perturbation problems: Hamilton-Jacobi-Isaacs equations and mean field games of acceleration

Abstract

This work focuses on the rate of convergence for singular perturbation problems for first-order Hamilton-Jacobi equations. As an application we derive the rate of convergence for singularly perturbed two-players zero-sum deterministic differential games (i.e., leading to Hamilton-Jacobi-Isaacs equations) and, subsequently, in case of singularly perturbed mean field games of acceleration. Namely, we show that in both the models the rate of convergence is $\varepsilon$.