From the master equation to mean field game limit theory: a central limit theorem
From MaRDI portal
Publication:2423457
DOI10.1214/19-EJP298WikidataQ105584292 ScholiaQ105584292MaRDI QIDQ2423457
Daniel Lacker, François Delarue, Kavita Ramanan
Publication date: 20 June 2019
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.08542
fluctuations; central limit theorem; master equation; interacting particle systems; mean field games; systemic risk; common noise; Mckean-Vlasov
60F05: Central limit and other weak theorems
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
91G80: Financial applications of other theories
91A15: Stochastic games, stochastic differential games
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
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