Control of McKean-Vlasov dynamics versus mean field games

DOI10.1007/s11579-012-0089-yzbMath1269.91012arXiv1210.5771OpenAlexW2048138547MaRDI QIDQ356473

François Delarue, Aimé Lachapelle, René A. Carmona

Publication date: 25 July 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5771

zbMATH Keywords

forward-backward stochastic differential equations mean-field game cap-and-trade model controlled McKean-Vlasov stochastic differential equations linear-quadratic

Mathematics Subject Classification ID

Noncooperative games (91A10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Integro-partial differential equations (45K05) Stochastic games, stochastic differential games (91A15) Ordinary differential equations and systems with randomness (34F05)

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