A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria (Q5042711): Difference between revisions

Latest revision as of 15:45, 30 July 2024

scientific article; zbMATH DE number 7607166

Language	Label	Description	Also known as
English	A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria	scientific article; zbMATH DE number 7607166

Statements

instance of

scholarly article

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title

A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria (English)

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DOI

10.1090/memo/1379

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author

Jean-François Chassagneux

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François Delarue

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Dan Crisan

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published in

Memoirs of the American Mathematical Society

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publication date

25 October 2022

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full work available at URL

https://arxiv.org/abs/1411.3009

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Mathematics Subject Classification ID

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master equation

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McKean-Vlasov SDEs

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forward-backward systems

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decoupling field

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Wasserstein space

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MaRDI profile type

MaRDI publication profile

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OpenAlex ID

W4299805649

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cites work

The Ricci flow in Riemannian geometry. A complete proof of the differentiable 1/4-pinching sphere theorem

0 references

Analysis of a Finite State Many Player Game Using Its Master Equation

0 references

Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics

0 references

The master equation in mean field theory

0 references

On the interpretation of the master equation

0 references

Control problem on space of random variables and master equation

0 references

An Extension of Skorohod's Almost Sure Representation Theorem

0 references

Mean-field stochastic differential equations and associated PDEs

0 references

The Master Equation and the Convergence Problem in Mean Field Games

0 references

Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics

0 references

Mean field forward-backward stochastic differential equations

0 references

Probabilistic Analysis of Mean-Field Games

0 references

The Master Equation for Large Population Equilibriums

0 references

Probabilistic Theory of Mean Field Games with Applications I

0 references

Probabilistic Theory of Mean Field Games with Applications II

0 references

Control of McKean-Vlasov dynamics versus mean field games

0 references

A probabilistic weak formulation of mean field games and applications

0 references

On the Convergence Problem in Mean Field Games: A Two State Model without Uniqueness

0 references

Convergence, fluctuations and large deviations for finite state mean field games via the master equation

0 references

Second order PDE's in finite and infinite dimension

0 references

Numerical method for FBSDEs of McKean-Vlasov type

0 references

Zero-sum stochastic differential games of generalized McKean-Vlasov type

0 references

On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.

0 references

Q4453266

0 references

Mean field games: A toy model on an Erdös-Renyi graph.

0 references

Restoring uniqueness to mean-field games by randomizing the equilibria

0 references

Selection of equilibria in a linear quadratic mean-field game

0 references

From the master equation to mean field game limit theory: a central limit theorem

0 references

From the master equation to mean field game limit theory: large deviations and concentration of measure

0 references

On the connection between symmetric \(N\)-player games and mean field games

0 references

Q4032143

0 references

Q5520962

0 references

Existence of a solution to an equation arising from the theory of mean field games

0 references

On differentiability in the Wasserstein space and well-posedness for Hamilton-Jacobi equations

0 references

Mean field games models -- a brief survey

0 references

Extended Deterministic Mean-Field Games

0 references

Mean Field Games and Applications

0 references

Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle

0 references

Weak and strong solutions of general stochastic models

0 references

A general characterization of the mean field limit for stochastic differential games

0 references

On the convergence of closed-loop Nash equilibria to the mean field game limit

0 references

Mean field games. I: The stationary case

0 references

Mean field games. II: Finite horizon and optimal control

0 references

Mean field games

0 references

Solving forward-backward stochastic differential equations explicitly -- a four step scheme

0 references

On well-posedness of forward-backward SDEs -- a unified approach

0 references

On non-Markovian forward-backward SDEs and backward stochastic PDEs

0 references

Convergence to the mean field game limit: a case study

0 references

Q4029028

0 references

Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

0 references

Bellman equation and viscosity solutions for mean-field stochastic control problem

0 references

Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications

0 references

Q3358031

0 references

Optimal Transport

0 references

Q4255599

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5042711

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-Dan Crisan
@@ Property / author: Dan Crisan / rank @@
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@@ Property / author @@
+Dan Crisan
@@ Property / author: Dan Crisan / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
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@@ Property / OpenAlex ID: W4299805649 / rank @@
+Normal rank
@@ Property / cites work @@
+The Ricci flow in Riemannian geometry. A complete proof of the differentiable 1/4-pinching sphere theorem
+Normal rank
@@ Property / cites work @@
+Analysis of a Finite State Many Player Game Using Its Master Equation
+Normal rank
@@ Property / cites work @@
+Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
+Normal rank
@@ Property / cites work @@
+The master equation in mean field theory
@@ Property / cites work: The master equation in mean field theory / rank @@
+Normal rank
@@ Property / cites work @@
+On the interpretation of the master equation
@@ Property / cites work: On the interpretation of the master equation / rank @@
+Normal rank
@@ Property / cites work @@
+Control problem on space of random variables and master equation
+Normal rank
@@ Property / cites work @@
+An Extension of Skorohod's Almost Sure Representation Theorem
+Normal rank
@@ Property / cites work @@
+Mean-field stochastic differential equations and associated PDEs
+Normal rank
@@ Property / cites work @@
+The Master Equation and the Convergence Problem in Mean Field Games
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
+Normal rank
@@ Property / cites work @@
+Mean field forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Probabilistic Analysis of Mean-Field Games
@@ Property / cites work: Probabilistic Analysis of Mean-Field Games / rank @@
+Normal rank
@@ Property / cites work @@
+The Master Equation for Large Population Equilibriums
+Normal rank
@@ Property / cites work @@
+Probabilistic Theory of Mean Field Games with Applications I
+Normal rank
@@ Property / cites work @@
+Probabilistic Theory of Mean Field Games with Applications II
+Normal rank
@@ Property / cites work @@
+Control of McKean-Vlasov dynamics versus mean field games
+Normal rank
@@ Property / cites work @@
+A probabilistic weak formulation of mean field games and applications
+Normal rank
@@ Property / cites work @@
+On the Convergence Problem in Mean Field Games: A Two State Model without Uniqueness
+Normal rank
@@ Property / cites work @@
+Convergence, fluctuations and large deviations for finite state mean field games via the master equation
+Normal rank
@@ Property / cites work @@
+Second order PDE's in finite and infinite dimension
+Normal rank
@@ Property / cites work @@
+Numerical method for FBSDEs of McKean-Vlasov type
@@ Property / cites work: Numerical method for FBSDEs of McKean-Vlasov type / rank @@
+Normal rank
@@ Property / cites work @@
+Zero-sum stochastic differential games of generalized McKean-Vlasov type
+Normal rank
@@ Property / cites work @@
+On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
+Normal rank
@@ Property / cites work @@
+Q4453266
@@ Property / cites work: Q4453266 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean field games: A toy model on an Erdös-Renyi graph.
+Normal rank
@@ Property / cites work @@
+Restoring uniqueness to mean-field games by randomizing the equilibria
+Normal rank
@@ Property / cites work @@
+Selection of equilibria in a linear quadratic mean-field game
+Normal rank
@@ Property / cites work @@
+From the master equation to mean field game limit theory: a central limit theorem
+Normal rank
@@ Property / cites work @@
+From the master equation to mean field game limit theory: large deviations and concentration of measure
+Normal rank
@@ Property / cites work @@
+On the connection between symmetric \(N\)-player games and mean field games
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5520962
@@ Property / cites work: Q5520962 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of a solution to an equation arising from the theory of mean field games
+Normal rank
@@ Property / cites work @@
+On differentiability in the Wasserstein space and well-posedness for Hamilton-Jacobi equations
+Normal rank
@@ Property / cites work @@
+Mean field games models -- a brief survey
@@ Property / cites work: Mean field games models -- a brief survey / rank @@
+Normal rank
@@ Property / cites work @@
+Extended Deterministic Mean-Field Games
@@ Property / cites work: Extended Deterministic Mean-Field Games / rank @@
+Normal rank
@@ Property / cites work @@
+Mean Field Games and Applications
@@ Property / cites work: Mean Field Games and Applications / rank @@
+Normal rank
@@ Property / cites work @@
+Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
+Normal rank
@@ Property / cites work @@
+Weak and strong solutions of general stochastic models
+Normal rank
@@ Property / cites work @@
+A general characterization of the mean field limit for stochastic differential games
+Normal rank
@@ Property / cites work @@
+On the convergence of closed-loop Nash equilibria to the mean field game limit
+Normal rank
@@ Property / cites work @@
+Mean field games. I: The stationary case
@@ Property / cites work: Mean field games. I: The stationary case / rank @@
+Normal rank
@@ Property / cites work @@
+Mean field games. II: Finite horizon and optimal control
+Normal rank
@@ Property / cites work @@
+Mean field games
@@ Property / cites work: Mean field games / rank @@
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+On well-posedness of forward-backward SDEs -- a unified approach
+Normal rank
@@ Property / cites work @@
+On non-Markovian forward-backward SDEs and backward stochastic PDEs
+Normal rank
@@ Property / cites work @@
+Convergence to the mean field game limit: a case study
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
+Normal rank
@@ Property / cites work @@
+Bellman equation and viscosity solutions for mean-field stochastic control problem
+Normal rank
@@ Property / cites work @@
+Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
+Normal rank
@@ Property / cites work @@
+Q3358031
@@ Property / cites work: Q3358031 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Transport
@@ Property / cites work: Optimal Transport / rank @@
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank