Backward propagation of chaos (Q2144343)

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Language	Label	Description	Also known as
English	Backward propagation of chaos	scientific article

Statements

scholarly article

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Backward propagation of chaos (English)

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Mathieu Laurière

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Electronic Journal of Probability

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publication date

13 June 2022

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full work available at URL

https://arxiv.org/abs/1911.06835

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zbMATH Keywords

concentration of measure

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interacting particles systems

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McKean-Vlasov BSDE

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PDEs on Wasserstein space

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propagation of chaos

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BSDE

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MaRDI profile type

MaRDI publication profile

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Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective

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Mean-field type games between two players driven by backward stochastic differential equations

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Functional inequalities for forward and backward diffusions

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Linear-quadratic mean field games

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Convergence rate for the approximation of the limit law of weakly interacting particles: Application to the Burgers equation

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Forward and backward stochastic differential equations with normal constraints in law

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A simple constructive approach to quadratic BSDEs with or without delay

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Mean-field backward stochastic differential equations: A limit approach

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The convergence problem in mean field games with local coupling

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The Master Equation and the Convergence Problem in Mean Field Games

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Mean field game of controls and an application to trade crowding

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Probabilistic Theory of Mean Field Games with Applications I

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Probabilistic Theory of Mean Field Games with Applications II

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Mean field games and systemic risk

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Bertrand and Cournot mean field games

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Runge-Kutta schemes for backward stochastic differential equations

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Multidimensional quadratic and subquadratic BSDEs with special structure

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BSDEs with terminal conditions that have bounded Malliavin derivative

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From the master equation to mean field game limit theory: large deviations and concentration of measure

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Backward Stochastic Differential Equations in Finance

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On the rate of convergence in Wasserstein distance of the empirical measure

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On the McKean-Vlasov Limit for Interacting Diffusions

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On the existence of classical solutions for stationary extended mean field games

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A characterization of dimension free concentration in terms of transportation inequalities

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Mean rates of convergence of empirical measures in the Wasserstein metric

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Multi-dimensional backward stochastic differential equations of diagonally quadratic generators

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Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria

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Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle

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Path regularity and explicit convergence rate for BSDE with truncated quadratic growth

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Mean field limit and propagation of chaos for Vlasov systems with bounded forces

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Quantitative estimates of propagation of chaos for stochastic systems with \(W^{-1,\infty}\) kernels

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Multidimensional quadratic BSDEs with separated generators

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Multidimensional Markovian FBSDEs with super-quadratic growth

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On a strong form of propagation of chaos for McKean-Vlasov equations

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Mean field games. I: The stationary case

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Mean field games

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Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls

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Solvability of coupled FBSDEs with diagonally quadratic generators

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Convergence to equilibrium for granular media equations and their Euler schemes

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Generalization of an inequality by Talagrand and links with the logarithmic Sobolev inequality

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Adapted solution of a backward stochastic differential equation

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Large systems of diffusions interacting through their ranks

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Optimal Transport

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A class of globally solvable Markovian quadratic BSDE systems and applications

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Identifiers

zbMATH Open document ID

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10.1214/22-EJP777

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2144343

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