Mean field games master equations with nonseparable Hamiltonians and displacement monotonicity

W Gangbo, AR Mészáros, C Mou… - The Annals of …, 2022 - projecteuclid.org
In this manuscript we propose a structural condition on nonseparable Hamiltonians, which
we term displacement monotonicity condition, to study second-order mean field games …

Finite state mean field games with Wright–Fisher common noise

E Bayraktar, A Cecchin, A Cohen, F Delarue - Journal de Mathématiques …, 2021 - Elsevier
We force uniqueness in finite state mean field games by adding a Wright–Fisher common
noise. We achieve this by analyzing the master equation of this game, which is a degenerate …

Mean field game master equations with anti-monotonicity conditions

C Mou, J Zhang - Journal of the European Mathematical Society, 2024 - ems.press
It is well known that the monotonicity condition, either in Lasry–Lions sense or in
displacement sense, is crucial for the global well-posedness of mean field game master …

A unifying framework for submodular mean field games

J Dianetti, G Ferrari, M Fischer… - … of Operations Research, 2023 - pubsonline.informs.org
We provide an abstract framework for submodular mean field games and identify verifiable
sufficient conditions that allow us to prove the existence and approximation of strong mean …

Propagation of chaos of forward–backward stochastic differential equations with graphon interactions

E Bayraktar, R Wu, X Zhang - Applied Mathematics & Optimization, 2023 - Springer
In this paper, we study graphon mean field games using a system of forward–backward
stochastic differential equations. We establish the existence and uniqueness of solutions …

Selection by vanishing common noise for potential finite state mean field games

A Cecchin, F Delarue - Communications in Partial Differential …, 2022 - Taylor & Francis
The goal of this paper is to provide a selection principle for potential mean field games on a
finite state space and, in this respect, to show that equilibria that do not minimize the …

Finite state N-agent and mean field control problems

A Cecchin - ESAIM: Control, Optimisation and Calculus of …, 2021 - esaim-cocv.org
We examine mean field control problems on a finite state space, in continuous time and over
a finite time horizon. We characterize the value function of the mean field control problem as …

From finite population optimal stopping to mean field optimal stopping

M Talbi, N Touzi, J Zhang - The Annals of Applied Probability, 2024 - projecteuclid.org
This paper analyzes the convergence of the finite population optimal stopping problem
towards the corresponding mean field limit. Building on the viscosity solution …

Set values for mean field games

M Iseri, J Zhang - arXiv preprint arXiv:2107.01661, 2021 - arxiv.org
In this paper we study mean field games with possibly multiple mean field equilibria. Instead
of focusing on the individual equilibria, we propose to study the set of values over all …

Analysis of the finite-state ergodic master equation

A Cohen, E Zell - Applied Mathematics & Optimization, 2023 - Springer
Mean field games model equilibria in games with a continuum of players as limiting systems
of symmetric n-player games with weak interaction between the players. We consider a finite …