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This article is cited in 6 scientific papers (total in 6 papers)
Controlled diffusion mean field games with common noise and McKean–Vlasov second order backward SDE
A. Barrassoa, N. Touzib a Université d'Évry Val d'Éssonne, Évry, France
b Ecole Polytechnique, France
Abstract:
We consider a mean field game with common noise in which the diffusion coefficients may be controlled. We prove existence of a weak relaxed solution under some continuity conditions on the coefficients. We then show that, when there is no common noise, the solution of this mean field game is characterized by a McKean–Vlasov type second order backward SDE.
Keywords:
stochastic control, Nash equilibrium, mean field game, exterior noise.
Received: 30.06.2021 Accepted: 30.06.2021
Citation:
A. Barrasso, N. Touzi, “Controlled diffusion mean field games with common noise and McKean–Vlasov second order backward SDE”, Teor. Veroyatnost. i Primenen., 66:4 (2021), 774–805; Theory Probab. Appl., 66:4 (2022), 613–639
Linking options:
https://www.mathnet.ru/eng/tvp5519https://doi.org/10.4213/tvp5519 https://www.mathnet.ru/eng/tvp/v66/i4/p774
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Abstract page: | 138 | Full-text PDF : | 25 | References: | 19 | First page: | 10 |
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