Abstract: A theory of existence and uniqueness is developed for general stochastic differential mean field games with common noise. The concepts of strong and weak solutions are introduced in analogy with the theory of stochastic differential equations, and existence of weak solutions for mean field games is shown to hold under very general assumptions. Examples and counter-examples are provided to enlighten the underpinnings of the existence theory. Finally, an analog of the famous result of Yamada and Watanabe is derived, and it is used to prove existence and uniqueness of a strong solution under additional assumptions.
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Cited in
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- A Unifying Framework for Submodular Mean Field Games
- Mean-field games of finite-fuel capacity expansion with singular controls
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- Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
- An introduction to mean field game theory
- Convergence in Monge-Wasserstein distance of mean field systems with locally Lipschitz coefficients
- Rough nonlocal diffusions
- Linear quadratic mean field social control with common noise: a directly decoupling method
- Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
- Stochastic differential games with random coefficients and stochastic Hamilton-Jacobi-Bellman-Isaacs equations
- McKean-Vlasov optimal control: the dynamic programming principle
- Fundamental properties of process distances
- Superposition and mimicking theorems for conditional McKean-Vlasov equations
- Mean–field moral hazard for optimal energy demand response management
- Large Sample Mean-Field Stochastic Optimization
- Extended Mean Field Games with Singular Controls
- Master equation for finite state mean field games with additive common noise
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- Probabilistic approach to mean field games and mean field type control problems with multiple populations
- Mean field games with singular controls
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- Impulse control of conditional McKean-Vlasov jump diffusions
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- Disordered high-dimensional optimal control
- Conditional propagation of chaos in a spatial stochastic epidemic model with common noise
- Continuous-time mean field games with finite state space and common noise
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- Erratum to: ``Mean field games with common noise
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- The Convergence Problem in Mean Field Games with Neumann Boundary Conditions
- At the mercy of the common noise: blow-ups in a conditional McKean-Vlasov problem
- Image-dependent conditional McKean-Vlasov SDEs for measure-valued diffusion processes
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- Reflecting image-dependent SDEs in Wasserstein space and large deviation principle
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- The master equation for large population equilibriums
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- A mean field game price model with noise
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- On the convergence of closed-loop Nash equilibria to the mean field game limit
- A general conditional McKean-Vlasov stochastic differential equation
- RBDSDEs with jumps and optional Barrier and mean field game with common noise
- Discrete-time mean field partially observable controlled systems subject to common noise
- Selected topics in mean field games
- Relative performance evaluation for dynamic contracts in a large competitive market
- Well-posedness and propagation of chaos for McKean-Vlasov equations with jumps and locally Lipschitz coefficients
- Robust decentralized control of coupled systems via risk sensitive control of decoupled or simple models with measure change
- Time-inconsistent mean field and \(n\)-agent games under relative performance criteria
- From mean field games to the best reply strategy in a stochastic framework
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- Selection by vanishing common noise for potential finite state mean field games
- Incomplete information mean-field games and related Riccati equations
- A mean field game model for renewable investment under long-term uncertainty and risk aversion
- Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching
- Mean field limits for interacting Hawkes processes in a diffusive regime
- Submodular mean field games: existence and approximation of solutions
- Social optima in leader-follower mean field linear quadratic control
- Scaling limit of moderately interacting particle systems with singular interaction and environmental noise
- A Mean Field Game of Optimal Stopping
- Deterministic limit of mean field games associated with nonlinear Markov processes
- The microscopic derivation and well-posedness of the stochastic Keller-Segel equation
- Controlled diffusion mean field games with common noise and McKean-Vlasov second order backward SDEs
- Contagious McKean-Vlasov systems with heterogeneous impact and exposure
- Mean field games with common noises and conditional distribution dependent FBSDEs
- On mean field systems with multi-classes
- On first order mean field game systems with a common noise
- Large population games with interactions through controls and common noise: convergence results and equivalence between open-loop and closed-loop controls
- Mean field games of controls: on the convergence of Nash equilibria
- Large deviations for interacting multiscale particle systems
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