A probabilistic approach to mean field games with major and minor players

DOI10.1214/15-AAP1125zbMath1342.93121arXiv1409.7141OpenAlexW2963980460MaRDI QIDQ303957

Xiuneng Zhu, René A. Carmona

Publication date: 23 August 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.7141

zbMATH Keywords

stochastic controlmean field gamesMcKean-Vlasov diffusionmean-field forward-backward stochastic differential equationmean-field interactionstochastic Pontryagin principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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