From the master equation to mean field game limit theory: large deviations and concentration of measure
DOI10.1214/19-AOP1359zbMath1445.60025arXiv1804.08550MaRDI QIDQ2184816
Kavita Ramanan, François Delarue, Daniel Lacker
Publication date: 29 May 2020
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.08550
large deviation principle; master equation; concentration of measure; interacting particle systems; mean field games; systemic risk; common noise; transport inequalities; McKean-Vlasov limit; linear-quadratic systems
60E15: Inequalities; stochastic orderings
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
60F10: Large deviations
91G80: Financial applications of other theories
91A15: Stochastic games, stochastic differential games
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