Probabilistic Analysis of Mean-Field Games

DOI10.1137/120883499zbMath1275.93065arXiv1210.5780OpenAlexW1973258650MaRDI QIDQ2862443

François Delarue, René A. Carmona

Publication date: 15 November 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5780

zbMATH Keywords

stochastic maximum principlepropagation of chaosmean-field gamesMcKean-Vlasov forward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Optimality conditions for problems involving randomness (49K45) Limit theorems in probability theory (60F99)

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