From the master equation to mean field game limit theory: a central limit theorem
Publication:2423457
DOI10.1214/19-EJP298WikidataQ105584292 ScholiaQ105584292MaRDI QIDQ2423457
Daniel Lacker, François Delarue, Kavita Ramanan
Publication date: 20 June 2019
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.08542
fluctuations; central limit theorem; master equation; interacting particle systems; mean field games; systemic risk; common noise; Mckean-Vlasov
60F05: Central limit and other weak theorems
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91A07: Games with infinitely many players
60K35: Interacting random processes; statistical mechanics type models; percolation theory
91G80: Financial applications of other theories
91A15: Stochastic games, stochastic differential games
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Propagation of chaos for interacting particles subject to environmental noise
- A probabilistic approach to mean field games with major and minor players
- On the rate of convergence in Wasserstein distance of the empirical measure
- Existence of a solution to an equation arising from the theory of mean field games
- A general characterization of the mean field limit for stochastic differential games
- A martingale approach to the law of large numbers for weakly interacting stochastic processes
- Mean field games. I: The stationary case
- Mean field games. II: Finite horizon and optimal control
- Mean field games
- A note on the differentiability of conjugate functions
- Tightness problem and stochastic evolution equation arising from fluctuation phenomena for interacting diffusions
- Central limit theorem for a simple diffusion model of interacting particles
- Propagation of chaos and fluctuations for a moderate model with smooth initial data
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic McKean-Vlasov equations
- Optimum bounds for the distributions of martingales in Banach spaces
- Probabilistic approach to finite state mean field games
- Convergence, fluctuations and large deviations for finite state mean field games via the master equation
- On the connection between symmetric \(N\)-player games and mean field games
- The master equation in mean field theory
- Mean field games and systemic risk
- On the interpretation of the master equation
- From the master equation to mean field game limit theory: a central limit theorem
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems
- On the convergence of closed-loop Nash equilibria to the mean field game limit
- On the McKean-Vlasov Limit for Interacting Diffusions
- ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
- The Master Equation and the Convergence Problem in Mean Field Games
- Asymptotic analysis of mean field games with small common noise
- Analysis of a Finite State Many Player Game Using Its Master Equation
- A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria
- Stochastic Equations in Infinite Dimensions
- Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
- Probabilistic Theory of Mean Field Games with Applications I
- Probabilistic Theory of Mean Field Games with Applications II
- The Master Equation for Large Population Equilibriums
- A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS