Controlled Diffusion Mean Field Games with Common Noise and McKean--Vlasov Second Order Backward SDEs

DOI10.1137/S0040585X97T990654zbMath1483.91029arXiv2005.07542OpenAlexW3024027731MaRDI QIDQ5034423

Adrien Barrasso, Nizar Touzi

Publication date: 25 February 2022

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.07542

zbMATH Keywords

stochastic controlNash equilibriummean field gameexterior noise

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic systems in control theory (general) (93E03) Mean field games (aspects of game theory) (91A16)

Related Items (4)

Closed-loop convergence for mean field games with common noise ⋮ Mean field games of controls: on the convergence of Nash equilibria ⋮ Continuous-time incentives in hierarchies ⋮ Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Pathwise construction of stochastic integrals
• Wellposedness of second order backward SDEs
• Mean field games with common noise
• Calcul stochastique et problèmes de martingales
• Martingale measures and stochastic calculus
• Mean field games
• Open mapping theorems for probability measures on metric spaces
• Extension and selection theorems in topological spaces with a generalized convexity structure
• Stochastic control for a class of nonlinear kernels and applications
• On pathwise stochastic integration
• Dual formulation of second order target problems
• Second order backward SDE with random terminal time
• A probabilistic weak formulation of mean field games and applications
• Mean field games via controlled martingale problems: existence of Markovian equilibria
• On viscosity solutions of path dependent PDEs
• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• Approximation of set valued functions and fixed point theorems
• Random Measures, Theory and Applications
• Backward Stochastic Differential Equations in Finance
• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• Path-dependent martingale problems and additive functionals
• Probabilistic Theory of Mean Field Games with Applications I

This page was built for publication: Controlled Diffusion Mean Field Games with Common Noise and McKean--Vlasov Second Order Backward SDEs