A probabilistic weak formulation of mean field games and applications

DOI10.1214/14-AAP1020zbMath1332.60100arXiv1307.1152OpenAlexW2092569083MaRDI QIDQ2346070

Daniel Lacker, René A. Carmona

Publication date: 29 May 2015

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

Full work available at URL: https://arxiv.org/abs/1307.1152

zbMATH Keywords

weak formulationprice impactmean field gamesflocking models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Games with infinitely many players (91A07) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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