Convergence rate of LQG mean field games with common noise

DOI10.1007/S00186-024-00863-2MaRDI QIDQ6568752FDOQ6568752

Authors: Jiamin Jian, Qingshuo Song, Jiaxuan Ye 

Publication date: 8 July 2024

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

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zbMATH Keywords

Wasserstein distanceconvergence ratemean field games\(N\)-player Nash game

Mathematics Subject Classification ID

Mean field games (aspects of game theory) (91A16)

Cites Work

• Mean field games
• Continuous-time stochastic control and optimization with financial applications
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• Control of McKean-Vlasov dynamics versus mean field games
• Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
• On the rate of convergence in Wasserstein distance of the empirical measure
• Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
• An invariance principle in large population stochastic dynamic games
• Linear systems.
• The Master Equation and the Convergence Problem in Mean Field Games
• Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games
• Probabilistic theory of mean field games with applications II. Mean field games with common noise and master equations
• Linear quadratic mean field games: decentralized \(O(1/N)\)-Nash equilibria
• From the master equation to mean field game limit theory: large deviations and concentration of measure
• Mean field games master equations with nonseparable Hamiltonians and displacement monotonicity
• The convergence rate of the equilibrium measure for the hybrid LQG Mean Field Game

Cited In (1)

• The convergence rate of the equilibrium measure for the hybrid LQG Mean Field Game

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