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Linear Quadratic Mean Field Type Control and Mean Field Games with Common Noise, with Application to Production of an Exhaustible Resource
16 references·11 citing·23 second hop
Linear Quadratic Mean Field Type Control and Mean Field Games with Common Noise, with Application to Production of an Exhaustible Resource (2016)Linear Quadratic Mean Field Type Control …Probabilistic Analysis of Mean-Field Games (2013)Probabilistic Analysis of Mea…Mean Field Games Models—A Brief Survey (2013)Mean Field Games Models—A Bri…Mean Field Games and Mean Field Type Control Theory (2013)Mean Field Games and Mean Fie…Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)Linear-Quadratic Optimal Cont…Social Optima in Mean Field LQG Control: Centralized and Decentralized Strategies (2012)Social Optima in Mean Field L…Mean Field Games: Numerical Methods (2010)Mean Field Games: Numerical M…Mean Field Games and Applications (2010)Mean Field Games and Applicat…Mean-field backward stochastic differential equations: A limit approach (2009)Mean-field backward stochasti…Mean-field backward stochastic differential equations and related partial differential equations (2009)Mean-field backward stochasti…Mean field games (2007)Mean field gamesLarge-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria (2007)Large-Population Cost-Coupled…Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Large population stochastic d…Jeux à champ moyen. II – Horizon fini et contrôle optimal (2006)Jeux à champ moyen. II – Hori…Jeux à champ moyen. I – Le cas stationnaire (2006)Jeux à champ moyen. I – Le ca…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Mean field games of controls: On the convergence of Nash equilibria (2023)Mean field games of controls:…McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations (2022)McKean–Vlasov Optimal Control…Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls (2022)Convergence of Large Populati…Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty (2021)Social Optima in Mean Field L…Mean-field linear-quadratic stochastic differential games (2021)Mean-field linear-quadratic s…Price of anarchy for Mean Field Games (2019)Price of anarchy for Mean Fie…On the (In)efficiency of MFG Equilibria (2019)On the (In)efficiency of MFG …Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective (2019)Extended Mean Field Control P…Variational Mean Field Games for Market Competition (2018)Variational Mean Field Games …Steering the Distribution of Agents in Mean-Field Games System (2018)Steering the Distribution of …A Weak Martingale Approach to Linear-Quadratic McKean–Vlasov Stochastic Control Problems (2018)A Weak Martingale Approach to…Equilibrium points in n -person games (1950)The Bargaining Problem (1950)Theory of games and economic behavior (2019)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)Dynamic noncooperative game theory (1995)The Theory of Learning in Games (1998)Dynamic Noncooperative Game Theory (1982)Games with Incomplete Information Played by “Bayesian” Players, I–III: Part I. The Basic Model (2004)A Maximum Principle for SDEs of Mean-Field Type (2010)Markets with a Continuum of Traders (1964)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Continuous Auctions and Insider Trading (1985)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)Mean Field Games and systemic risk (2015)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Linear-Quadratic Mean Field Games (2015)The Master Equation and the Convergence Problem in Mean Field Games (2019)
this work references cited by second hop

References

  • 2007Mean field games2,638 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 2006Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle1,574 cited
  • 1999Stochastic Controls1,243 cited
  • 2007Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria1,092 cited
  • 2006Jeux à champ moyen. I – Le cas stationnaire965 cited
  • 2006Jeux à champ moyen. II – Horizon fini et contrôle optimal810 cited
  • 2013Mean Field Games and Mean Field Type Control Theory761 cited
  • 2010Mean Field Games and Applications589 cited
  • 2013Probabilistic Analysis of Mean-Field Games435 cited
  • 2013Mean Field Games Models—A Brief Survey349 cited
  • 2009Mean-field backward stochastic differential equations and related partial differential equations342 cited
  • 2013Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations333 cited
  • 2010Mean Field Games: Numerical Methods328 cited
  • 2009Mean-field backward stochastic differential equations: A limit approach324 cited

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  • 2012Social Optima in Mean Field LQG Control: Centralized and Decentralized Strategies246 cited
  • Cited by

    • 2019Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective69 cited
    • 2022Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls50 cited
    • 2022McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations46 cited
    • 2018A Weak Martingale Approach to Linear-Quadratic McKean–Vlasov Stochastic Control Problems29 cited
    • 2021Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty28 cited
    • 2023Mean field games of controls: On the convergence of Nash equilibria26 cited
    • 2018Steering the Distribution of Agents in Mean-Field Games System26 cited
    • 2018Variational Mean Field Games for Market Competition23 cited
    • 2019On the (In)efficiency of MFG Equilibria19 cited
    • 2021Mean-field linear-quadratic stochastic differential games18 cited
    • 2019Price of anarchy for Mean Field Games18 cited