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Forward–backward stochastic differential equations with monotone functionals and mean field games with common noise
16 references·0 citing·31 second hop
Forward–backward stochastic differential equations with monotone functionals and mean field games with common noise (2019)Forward–backward stochastic differential …Mean field games with common noise (2016)Mean field games with common …Linear-Quadratic Mean Field Games (2015)Linear-Quadratic Mean Field G…Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)Forward–backward stochastic d…A general characterization of the mean field limit for stochastic differential games (2015)A general characterization of…The Master equation in mean field theory (2014)The Master equation in mean f…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 forward-backward stochastic differential equations (2013)Mean field forward-backward s…Continuous Time Finite State Mean Field Games (2013)Continuous Time Finite State …Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Paris-Princeton Lectures on M…Mean Field Games and Applications (2010)Mean Field Games and Applicat…Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Continuous-time Stochastic Co…Mean field games (2007)Mean field gamesOn the existence and uniqueness of solutions to FBSDEs in a non-degenerate case (2002)On the existence and uniquene…Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Fully Coupled Forward-Backwar…Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Solving forward-backward stoc…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)Adapted solution of a backward stochastic differential equation (1990)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Control of McKean–Vlasov dynamics versus mean field games (2012)A probabilistic weak formulation of mean field games and applications (2015)The Master Equation and the Convergence Problem in Mean Field Games (2019)Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria (2007)Risk-Sensitive Mean-Field Games (2013)Mean field game of controls and an application to trade crowding (2017)Stochastic controls : Hamiltonian systems and HJB equations (1999)Mean Field Games and systemic risk (2015)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Backward Stochastic Differential Equations in Finance (1997)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Controlled Markov Processes and Viscosity Solutions (2005)The Malliavin Calculus and Related Topics (1995)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)The Malliavin Calculus and Related Topics (2006)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Continuous Auctions and Insider Trading (1985)Controlled Diffusion Processes (1980)Stochastic Integration and Differential Equations (1990)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)Optimal high-frequency trading with limit and market orders (2012)Stochastic Differential Equations (2014)
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References

  • 2007Mean field games2,638 cited
  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,041 cited
  • 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme740 cited
  • 2010Mean Field Games and Applications589 cited
  • 1999Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control494 cited
  • 2013Probabilistic Analysis of Mean-Field Games435 cited
  • 2013Mean Field Games Models—A Brief Survey349 cited
  • 2002On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case267 cited
  • 2015Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics244 cited
  • 2015Linear-Quadratic Mean Field Games233 cited
  • 2016Mean field games with common noise204 cited
  • 2015A general characterization of the mean field limit for stochastic differential games176 cited
  • 2010Paris-Princeton Lectures on Mathematical Finance 2010149 cited
  • 2014The Master equation in mean field theory138 cited
  • 2013Continuous Time Finite State Mean Field Games136 cited

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2013
Mean field forward-backward stochastic differential equations
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