A Probabilistic Approach to Extended Finite State Mean Field Games

DOI10.1287/MOOR.2020.1071zbMath1468.49043arXiv1808.07635OpenAlexW3135174634MaRDI QIDQ5000643

Peiqi Wang, René A. Carmona

Publication date: 15 July 2021

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.07635

zbMATH Keywords

mean field gamesfinite state spaceapproximative Nash equilibriumMckean-Vlasov BSDEweak formulation of optimal control

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Probabilistic games; gambling (91A60) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)

Related Items (6)

Finite state graphon games with applications to epidemics ⋮ Optimal Incentives to Mitigate Epidemics: A Stackelberg Mean Field Game Approach ⋮ Deep neural network solution for finite state mean field game with error estimation ⋮ A myopic adjustment process for mean field games with finite state and action space ⋮ MF-OMO: An Optimization Formulation of Mean-Field Games ⋮ Continuous-time mean field games with finite state space and common noise

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Continuous time finite state mean field games
• On the rate of convergence in Wasserstein distance of the empirical measure
• Mean-field-game model for botnet defense in cyber-security
• Mean field games
• Mean field game of controls and an application to trade crowding
• An alternative approach to mean field game with major and minor players, and applications to herders impacts
• Approximation of continuous functions by Lipschitz functions
• Probabilistic approach to finite state mean field games
• Convergence, fluctuations and large deviations for finite state mean field games via the master equation
• Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
• A probabilistic weak formulation of mean field games and applications
• Solutions of Backward Stochastic Differential Equations on Markov Chains
• Extended Deterministic Mean-Field Games
• Probabilistic Analysis of Mean-Field Games
• Socio-economic applications of finite state mean field games
• Exponential Martingales and Changes of Measure for Counting Processes
• A stability theorem of backward stochastic differential equations and its application
• Analysis of a Finite State Many Player Game Using Its Master Equation
• A Tale of a Principal and Many, Many Agents

This page was built for publication: A Probabilistic Approach to Extended Finite State Mean Field Games