Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games
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
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