Mean field games with common noise
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Publication:504247
DOI10.1214/15-AOP1060zbMATH Open1422.91083arXiv1407.6181OpenAlexW1752918831MaRDI QIDQ504247FDOQ504247
Authors: François Delarue, Daniel Lacker, René Carmona 
Publication date: 13 January 2017
Published in: The Annals of Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1407.6181
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Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
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