A Control Theoretical Approach to Mean Field Games and Associated Master Equations

MaRDI QIDQ6520132arXivFDO

Authors Alain Bensoussan, Ho-Man Tai, Tak Kwong Wong, Sheung Chi Phillip Yam

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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