Forward-backward stochastic differential equations with monotone functionals and mean field games with common noise

DOI10.1016/J.SPA.2018.11.005zbMATH Open1479.60110arXiv1611.04680OpenAlexW2556059210MaRDI QIDQ2274261FDOQ2274261

Authors: Saran Ahuja, Weiluo Ren, Tzu-Wei Yang 

Publication date: 19 September 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this paper, we consider a system of forward-backward stochastic differential equations (FBSDEs) with monotone functionals. We show the existence and uniqueness of such a system by the method of continuation similarly to Peng and Wu (1999) for classical FBSDEs and obtain estimates under conditional probability. As applications, we prove the well-posedness result for a mean field FBSDE with conditional law and show the existence of a decoupling function. In addition, we show that mean field games with common noise are uniquely solvable under a linear controlled process with convex and weak-monotone cost functions and prove that the optimal control is in a feedback form depending only on the current state and conditional law.

Full work available at URL: https://arxiv.org/abs/1611.04680

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zbMATH Keywords

forward-backward stochastic differential equationsmonotone functionalmean field FBSDE with conditional lawmean field games with common noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15)

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Cited In (17)

• Superposition and mimicking theorems for conditional McKean-Vlasov equations
• Mean-field leader-follower games with terminal state constraint
• Closed-loop convergence for mean field games with common noise
• Control in Hilbert space and first-order mean field type problem
• The maximum principle for optimal control of mean-field FBSDE driving by Teugels martingales with terminal state constraints
• Well-posedness of mean field games with common noise under a weak monotonicity condition
• Well-posedness of mean-field type forward-backward stochastic differential equations
• Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach
• Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem
• Maximum principle for general partial information nonzero sum stochastic differential games and applications
• On some mean field games and master equations through the lens of conservation laws
• Linear-quadratic extended mean field games with common noises
• Well-posedness for a class of mean-field-type forward-backward stochastic differential equations and classical solutions of related master equations
• Controlled diffusion mean field games with common noise and McKean-Vlasov second order backward SDEs
• Mean field games with common noises and conditional distribution dependent FBSDEs
• On first order mean field game systems with a common noise
• Mean field games master equations with nonseparable Hamiltonians and displacement monotonicity

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