| Abstract: | This paper studies mean‐field games for multiagent systems with control‐dependent multiplicative noises. For the general systems with nonuniform agents, we obtain a set of decentralized strategies by solving an auxiliary limiting optimal control problem subject to consistent mean‐field approximations. The set of decentralized strategies is further shown to be an ε‐Nash equilibrium. For the integrator multiagent systems, we design a set of ε‐Nash strategies by exploiting the convexity property of the limiting problem. It is shown that under the mild conditions, all the agents achieve mean‐square consensus. |
