Ergodic Bellman systems for stochastic games in arbitrary dimension

DOI10.1098/rspa.1995.0032zbMath0833.90141OpenAlexW2132323898MaRDI QIDQ4833596

Jens Frehse, Alain Bensoussan

Publication date: 18 May 1995

Published in: Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.1995.0032

zbMATH Keywords

stochastic differential equationstochastic gamesfeedback controlsBellman systemdiagonal second-order nonlinear elliptic systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

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Mean field games. I: The stationary case ⋮ On quasilinear parabolic systems and FBSDEs of quadratic growth ⋮ Control and Nash games with mean field effect ⋮ Nonlinear elliptic systems and mean-field games ⋮ Smooth Solutions of systems of quasilinear parabolic equations ⋮ Mean field games ⋮ Nash equilibria in N‐person games with super‐quadratic Hamiltonians ⋮ ON NONLINEAR ELLIPTIC BELLMAN SYSTEMS FOR A CLASS OF STOCHASTIC DIFFERENTIAL GAMES IN ARBITRARY DIMENSION ⋮ Linear-quadratic \(N\)-person and mean-field games: infinite horizon games with discounted cost and singular limits

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