From the master equation to mean field game limit theory: a central limit theorem

DOI10.1214/19-EJP298WikidataQ105584292 ScholiaQ105584292MaRDI QIDQ2423457

Daniel Lacker, François Delarue, Kavita Ramanan

Publication date: 20 June 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.08542

zbMATH Keywords

fluctuationscentral limit theoremmaster equationinteracting particle systemsmean field gamessystemic riskcommon noiseMckean-Vlasov

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Games with infinitely many players (91A07) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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