Translation invariant mean field games with common noise

DOI10.1214/ECP.V20-3822zbMath1332.60102arXiv1409.7345OpenAlexW2962820829MaRDI QIDQ2517270

Daniel Lacker, Kevin N. Webster

Publication date: 17 August 2015

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

Full work available at URL: https://arxiv.org/abs/1409.7345

zbMATH Keywords

translation invariancemean field gamescommon noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15)

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Systemic risk and interbank lending ⋮ Wellposedness of Mean Field Games with Common Noise under a Weak Monotonicity Condition ⋮ On first order mean field game systems with a common noise ⋮ Closed-loop convergence for mean field games with common noise ⋮ Mean field games of controls: on the convergence of Nash equilibria ⋮ Splitting methods and short time existence for the master equations in mean field games ⋮ Superposition and mimicking theorems for conditional McKean-Vlasov equations ⋮ An introduction to mean field game theory ⋮ Forward-backward stochastic differential equations with monotone functionals and mean field games with common noise ⋮ Mean field games with heterogeneous groups: application to banking systems

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