Mean field games via controlled martingale problems: existence of Markovian equilibria

DOI10.1016/j.spa.2015.02.006zbMath1346.60083arXiv1404.2642OpenAlexW2041869614MaRDI QIDQ2348305

Daniel Lacker

Publication date: 11 June 2015

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

Full work available at URL: https://arxiv.org/abs/1404.2642

zbMATH Keywords

mean field gamesrelaxed controlcontrolled martingale problem

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15)

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