Forward-backward stochastic differential equations with monotone functionals and mean field games with common noise

DOI10.1016/J.SPA.2018.11.005zbMath1479.60110arXiv1611.04680OpenAlexW2556059210MaRDI QIDQ2274261

Tzu-Wei Yang, Weiluo Ren, Saran Ahuja

Publication date: 19 September 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.04680

zbMATH Keywords

forward-backward stochastic differential equationsmonotone functionalmean field FBSDE with conditional lawmean field games with common noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15)

Related Items (12)

Control in Hilbert Space and First-Order Mean Field Type Problem ⋮ Maximum principle for general partial information nonzero sum stochastic differential games and applications ⋮ Closed-loop convergence for mean field games with common noise ⋮ Superposition and mimicking theorems for conditional McKean-Vlasov equations ⋮ Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach ⋮ Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem ⋮ Mean-Field Leader-Follower Games with Terminal State Constraint ⋮ Linear-quadratic extended mean field games with common noises ⋮ The maximum principle for optimal control of mean-field FBSDE driving by Teugels martingales with terminal state constraints ⋮ On some mean field games and master equations through the lens of conservation laws ⋮ Mean field games with common noises and conditional distribution dependent FBSDEs ⋮ Mean field games master equations with nonseparable Hamiltonians and displacement monotonicity

Cites Work

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• Weak Solutions of Forward–Backward SDE's
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• The Master Equation for Large Population Equilibriums

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