Extended Mean Field Games with Singular Controls
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Publication:5883153
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Cites work
- scientific article; zbMATH DE number 1351867 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- A general characterization of the mean field limit for stochastic differential games
- A mean field game of optimal portfolio liquidation
- A multivariate functional limit theorem in weak \(M_1\) topology
- A probabilistic weak formulation of mean field games and applications
- An optimal extraction problem with price impact
- Existence of optimal controls for singular control problems with state constraints
- Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Markov-Nash equilibria in mean-field games with discounted cost
- Mean field game of controls and an application to trade crowding
- Mean field games
- Mean field games via controlled martingale problems: existence of Markovian equilibria
- Mean field games with common noise
- Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model
- Mean field games with singular controls
- Mean-Field Game Strategies for Optimal Execution
- Mean-field games of finite-fuel capacity expansion with singular controls
- Mean-field games of optimal stopping: a relaxed solution approach
- Mean-field games with differing beliefs for algorithmic trading
- Mean-field leader-follower games with terminal state constraint
- Nonzero-sum submodular monotone-follower games: existence and approximation of Nash equilibria
- On singular control problems, the time-stretching method, and the weak-M1 topology
- On the connection between symmetric \(N\)-player games and mean field games
- Optimal liquidation under stochastic liquidity
- Particle systems with a singular mean-field self-excitation. Application to neuronal networks
- Particle systems with singular interaction through hitting times: application in systemic risk modeling
- Portfolio liquidation games with self‐exciting order flow
- Probabilistic approach to finite state mean field games
- Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games
- Singular mean-field control games
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
- Stochastic games for fuel follower problem: \(N\) versus mean field game
- Stochastic-Process Limits
- When to cross the spread? Trading in two-sided limit order books
- \(N\)-player games and mean-field games with absorption
- \(N\)-player games and mean-field games with smooth dependence on past absorptions
Cited in
(11)- Mean field games with singular controls
- Schauder estimates for a class of potential mean field games of controls
- Singular mean-field control games
- Game of Singular Stochastic Control and Strategic Exit
- Extended mean field games
- Approximation of \(N\)-player stochastic games with singular controls by mean field games
- Extended deterministic mean-field games
- A Lagrangian Approach for Aggregative Mean Field Games of Controls with Mixed and Final Constraints
- Stationary Discounted and Ergodic Mean Field Games with Singular Controls
- Mean-field games of finite-fuel capacity expansion with singular controls
- Extended mean-field games
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