[图书][B] Probabilistic theory of mean field games with applications I-II
The lion's share of this chapter is devoted to the construction of equilibria for mean field
games with a common noise. We develop a general two-step strategy for the search of weak …
games with a common noise. We develop a general two-step strategy for the search of weak …
[图书][B] A probabilistic approach to classical solutions of the master equation for large population equilibria
We analyze a class of nonlinear partial differential equations (PDEs) defined on $\mathbb
{R}^ d\times\mathcal {P} _2 (\mathbb {R}^ d), $ where $\mathcal {P} _2 (\mathbb {R}^ d) $ is …
{R}^ d\times\mathcal {P} _2 (\mathbb {R}^ d), $ where $\mathcal {P} _2 (\mathbb {R}^ d) $ is …
[图书][B] Contract theory in continuous-time models
J Cvitanic, J Zhang - 2012 - books.google.com
In recent years there has been a significant increase of interest in continuous-time Principal-
Agent models, or contract theory, and their applications. Continuous-time models provide a …
Agent models, or contract theory, and their applications. Continuous-time models provide a …
[图书][B] Backward stochastic differential equations
J Zhang, J Zhang - 2017 - Springer
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SpringerLink Account Menu Find a journal Publish with us Track your research Search Cart …
SpringerLink Account Menu Find a journal Publish with us Track your research Search Cart …
[图书][B] Backward stochastic differential equations with jumps and their actuarial and financial applications
Ł Delong - 2013 - Springer
A linear backward stochastic differential equation was introduced by Bismut (1973) in an
attempt to solve an optimal stochastic control problem by the maximum principle. The …
attempt to solve an optimal stochastic control problem by the maximum principle. The …
A probabilistic approach to mean field games with major and minor players
R Carmona, X Zhu - 2016 - projecteuclid.org
We propose a new approach to mean field games with major and minor players. Our
formulation involves a two player game where the optimization of the representative minor …
formulation involves a two player game where the optimization of the representative minor …
Selection of equilibria in a linear quadratic mean-field game
F Delarue, RF Tchuendom - Stochastic Processes and their Applications, 2020 - Elsevier
In this paper, we address an instance of uniquely solvable mean-field game with a common
noise whose corresponding counterpart without common noise has several equilibria. We …
noise whose corresponding counterpart without common noise has several equilibria. We …
Wellposedness of second order master equations for mean field games with nonsmooth data
In this paper we study second order master equations arising from mean field games with
common noise over arbitrary time duration. A classical solution typically requires the …
common noise over arbitrary time duration. A classical solution typically requires the …
Mean field type control problems, some Hilbert-space-valued FBSDEs, and related equations
In this article, we provide an original systematic global-in-time analysis of mean field type
control problems on $\mathbb {R}^ n $ with generic cost functionals by the modified …
control problems on $\mathbb {R}^ n $ with generic cost functionals by the modified …
A global stochastic maximum principle for fully coupled forward-backward stochastic systems
We study a stochastic optimal control problem for fully coupled forward-backward stochastic
control systems with a nonempty control domain. For our problem, the first-order and second …
control systems with a nonempty control domain. For our problem, the first-order and second …