Wellposedness of Mean Field Games with Common Noise under a Weak Monotonicity Condition
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Publication:3462516
DOI10.1137/140974730zbMath1327.93403arXiv1406.7028OpenAlexW3105231990MaRDI QIDQ3462516
Publication date: 15 January 2016
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1406.7028
stochastic maximum principleforward-backward stochastic differential equationsmean field gamescommon noise
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45)
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