Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games
From MaRDI portal
Publication:3178443
DOI10.1137/15M1015583zbMath1346.60085MaRDI QIDQ3178443
Publication date: 13 July 2016
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
weak solution; backward stochastic differential equation; Girsanov transformation; mean-field stochastic differential equation; uniqueness in law; zero-sum stochastic differential game; saddle point controls
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
49N70: Differential games and control
91A23: Differential games (aspects of game theory)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91A15: Stochastic games, stochastic differential games
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Related Items
Information upper bound for McKean–Vlasov stochastic differential equations, Near Optimality of Stochastic Control for Singularly Perturbed McKean--Vlasov Systems, Optimal vaccination strategy for a mean-field stochastic susceptible-infected-vaccinated system, A stochastic maximum principle for partially observed general mean-field control problems with only weak solution, Online parameter estimation for the McKean-Vlasov stochastic differential equation, Weak solutions of McKean-Vlasov SDEs with supercritical drifts, The locally homeomorphic property of McKean-Vlasov SDEs under the global Lipschitz condition, General mean-field BSDEs with continuous coefficients, Strong solutions of mean-field stochastic differential equations with irregular drift, Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs, Well-posedness of distribution dependent SDEs with singular drifts, Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift, Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients, Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations, Optimal control and zero-sum stochastic differential game problems of mean-field type, Distribution-dependent SDEs with Hölder continuous drift and \(\alpha\)-stable noise, Well-posedness of some non-linear stable driven SDEs, Least squares estimation for path-distribution dependent stochastic differential equations, From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs, Zero-sum stochastic differential games of generalized McKean-Vlasov type, A discretized version of Krylov's estimate and its applications, Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space, Weak solutions of mean-field stochastic differential equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Large systems of diffusions interacting through their ranks
- Weak and strong solutions of general stochastic models
- Zero-sum stochastic differential games and backward equations
- A martingale approach to the law of large numbers for weakly interacting stochastic processes
- On existence and stability of weak solutions of multidimensional stochastic differential equations with measurable coefficients
- Mean field games
- On stability and existence of solutions of SDEs with reflection at the boundary
- Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
- A probabilistic weak formulation of mean field games and applications
- Mean field games via controlled martingale problems: existence of Markovian equilibria
- The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- A General Stochastic Maximum Principle for Optimal Control Problems
- A certain class of diffusion processes associated with nonlinear parabolic equations
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- On the McKean-Vlasov Limit for Interacting Diffusions
- SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- An Example of a Stochastic Differential Equation Having No Strong Solution
- On Choosing and Bounding Probability Metrics
- Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
- Stochastic Equations for Diffusion Processes in a Bounded Region. II
- A stochastic particle method for the McKean-Vlasov and the Burgers equation
- On stochastic differential equations
