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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- A mean field game price model with noise
- An extended mean field game for storage in smart grids
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- McKean-Vlasov optimal control: the dynamic programming principle
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- Impulse control of conditional McKean-Vlasov jump diffusions
- Equilibrium price formation with a major player and its mean field limit
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- The role of correlation in diffusion control ranking games
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- Closed-loop convergence for mean field games with common noise
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- Social optima in leader-follower mean field linear quadratic control
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- Scaling limit of moderately interacting particle systems with singular interaction and environmental noise
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