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

DOI10.1214/19-AOP1359zbMath1445.60025arXiv1804.08550OpenAlexW2798589965MaRDI QIDQ2184816

Kavita Ramanan, François Delarue, Daniel Lacker

Publication date: 29 May 2020

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.08550

zbMATH Keywords

large deviation principlemaster equationconcentration of measureinteracting particle systemsmean field gamessystemic riskcommon noisetransport inequalitiesMcKean-Vlasov limitlinear-quadratic systems

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Games with infinitely many players (91A07) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Large deviations (60F10) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15)

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