Horizon-Independent Contraction for Continuous-Time Discounted Regularized Mean-Field Games

Abstract

We study contraction properties of non-stationary continuous-time mean-field games (MFGs) under discounting and entropy regularization. The state of the representative agent evolves according to a controlled continuous-time Markov chain, and both the state and action spaces are finite. In contrast to the undiscounted case, we show that, under a sufficiently large discount rate, finite-horizon MFGs admit a horizon-independent contraction condition, which also coincides with the corresponding infinite-horizon non-stationary contraction condition. As a byproduct, we obtain an explicit convergence rate between finite- and infinite-horizon mean-field equilibria. For each finite horizon, we further derive a refined contraction criterion from the spectral radius of a positive operator that majorizes the propagation of policy errors, and show that its large-horizon limit agrees with the horizon-independent contraction factor. Finally, we provide an explicit error bound between discounted and undiscounted finite-horizon regularized equilibria.