On mean field games with common noise and McKean-Vlasov SPDEs
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Publication:5378406
DOI10.1080/07362994.2019.1592690zbMATH Open1415.60075arXiv1506.04594OpenAlexW2939677525WikidataQ128037815 ScholiaQ128037815MaRDI QIDQ5378406FDOQ5378406
M. S. Troeva, Vassili Kolokoltsov
Publication date: 12 June 2019
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Abstract: We formulate the MFG limit for interacting agents with a common noise as a single quasi-linear deterministic infinite-dimensional partial differential second order backward equation. We prove that any its (regular enough) solution provides an -Nash-equilibrium profile for the initial -player game. We use the method of stochastic characteristics to provide the link with the basic models of MFG with a major player. We develop two auxiliary theories of independent interest: sensitivity and regularity analysis for the McKean-Vlasov SPDEs and the -convergence rate for the propagation of chaos property of interacting diffusions.
Full work available at URL: https://arxiv.org/abs/1506.04594
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Interacting particle systems in time-dependent statistical mechanics (82C22) (n)-person games, (n>2) (91A06) Stochastic games, stochastic differential games (91A15)
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Cited In (25)
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