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

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

zbMATH Keywords

fluctuations; central limit theorem; master equation; interacting particle systems; mean field games; systemic risk; common noise; Mckean-Vlasov

Mathematics Subject Classification ID

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

A Mean Field Game of Optimal Portfolio Liquidation, A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria, The Master Equation in a bounded domain with Neumann conditions, Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls, On the Convergence Problem in Mean Field Games: A Two State Model without Uniqueness, Finite Dimensional Approximations of Hamilton--Jacobi--Bellman Equations in Spaces of Probability Measures, Finite State Mean Field Games with Wright–Fisher Common Noise as Limits ofN-Player Weighted Games, Well-posedness of mean field games master equations involving non-separable local Hamiltonians, Rate of homogenization for fully-coupled McKean–Vlasov SDEs, Linear-quadratic mean field games of controls with non-monotone data, Finite Dimensional Approximations of Hamilton–Jacobi–Bellman Equations for Stochastic Particle Systems with Common Noise, Closed-loop convergence for mean field games with common noise, The Convergence Problem in Mean Field Games with Neumann Boundary Conditions, Large population games with interactions through controls and common noise: convergence results and equivalence between open-loop and closed-loop controls, Approximation of \(N\)-player stochastic games with singular controls by mean field games, MF-OMO: An Optimization Formulation of Mean-Field Games, Reflecting image-dependent SDEs in Wasserstein space and large deviation principle, Selected topics in mean field games, Laplace principle for large population games with control interaction, Convergence, fluctuations and large deviations for finite state mean field games via the master equation, Image-dependent conditional McKean-Vlasov SDEs for measure-valued diffusion processes, Dynamic pricing of new products in competitive markets: a mean-field game approach, Central limit theorem over non-linear functionals of empirical measures with applications to the mean-field fluctuation of interacting diffusions, A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations, Weak quantitative propagation of chaos via differential calculus on the space of measures, An example of multiple mean field limits in ergodic differential games, From the master equation to mean field game limit theory: large deviations and concentration of measure, Fluctuations for spatially extended Hawkes processes, An introduction to mean field game theory, Master equation for finite state mean field games with additive common noise, An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model, On the asymptotic nature of first order mean field games, Continuous-time mean field games with finite state space and common noise, Antithetic multilevel sampling method for nonlinear functionals of measure, From the master equation to mean field game limit theory: a central limit theorem, On the convergence of closed-loop Nash equilibria to the mean field game limit, Analysis of the finite-state ergodic master equation

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