On the rate of the vanishing viscosity approximation for Mean Field Games with nonlocal coupling

Abstract: We study quantitative convergence rates of the vanishing viscosity approximation of first-order time-dependent Mean Field Games with regularizing coupling acting in the Hamilton-Jacobi equation. Under standard structural assumptions on the Hamiltonian ensuring convergence of the vanishing viscosity approximation, previous results provide either qualitative convergence for the two unknown of the system or quantitative estimates merely for solutions of the Hamilton-Jacobi equation. In this work, we improve these convergence rates under the same assumptions and establish, in addition, quantitative estimates for the convergence of the associated forward Fokker-Planck equation. As a consequence, we obtain quantitative convergence rates for the full Mean Field Game system, thus extending and strengthening the existing theory for the first-order limit.