Asymptotic analysis of mean field games with small common noise

DOI10.3233/ASY-171446zbMath1392.35314arXiv1707.09090MaRDI QIDQ4644192

Saran Ahuja, Weiluo Ren, Tzu-Wei Yang

Publication date: 30 May 2018

Published in: Asymptotic Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.09090

zbMATH Keywords

asymptoticforward-backward stochastic differential equationsmean field gamescommon noise

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic behavior of solutions to PDEs (35B40) Stochastic games, stochastic differential games (91A15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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