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On the convergence of closed-loop Nash equilibria to the mean field game limit
16 references·12 citing·25 second hop
On the convergence of closed-loop Nash equilibria to the mean field game limit (2020)On the convergence of closed-loop Nash eq…Probabilistic Theory of Mean Field Games with Applications II (2018)Probabilistic Theory of Mean …Probabilistic Theory of Mean Field Games with Applications I (2018)Probabilistic Theory of Mean …Mean Field Games and systemic risk (2015)Mean Field Games and systemic…Probabilistic Analysis of Mean-Field Games (2013)Probabilistic Analysis of Mea…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…An introduction to stochastic partial differential equations (2006)An introduction to stochastic…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Strong solutions of stochastic equations with singular time dependent drift (2004)Strong solutions of stochasti…Zero-sum stochastic differential games and backward equations (1995)Zero-sum stochastic different…On the McKean‐Vlasov Limit for Interacting Diffusions (1988)On the McKean‐Vlasov Limit fo…Mimicking the one-dimensional marginal distributions of processes having an ito differential (1986)Mimicking the one-dimensional…ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS (1981)ON STRONG SOLUTIONS AND EXPLI…Wellposedness of Second Order Master Equations for Mean Field Games with Nonsmooth Data (2024)Wellposedness of Second Order…Mean field games of controls: On the convergence of Nash equilibria (2023)Mean field games of controls:…Closed-loop convergence for mean field games with common noise (2023)Closed-loop convergence for m…Extended mean field control problem: a propagation of chaos result (2022)Extended mean field control p…Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls (2022)Convergence of Large Populati…Optimal Policies for Convex Symmetric Stochastic Dynamic Teams and their Mean-Field Limit (2021)Optimal Policies for Convex S…Monotone solutions for mean field games master equations: finite state space and optimal stopping (2021)Monotone solutions for mean f…Indefinite Linear Quadratic Mean Field Social Control Problems With Multiplicative Noise (2020)Indefinite Linear Quadratic M…Convergence to the mean field game limit: A case study (2020)Convergence to the mean field…An Introduction to Mean Field Game Theory (2020)An Introduction to Mean Field…Selection of equilibria in a linear quadratic mean-field game (2019)Selection of equilibria in a …On the Convergence Problem in Mean Field Games: A Two State Model without Uniqueness (2019)On the Convergence Problem in…Stochastic controls : Hamiltonian systems and HJB equations (1999)Mean Field Games Models—A Brief Survey (2013)Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)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)Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)Markets with a Continuum of Traders (1964)Mean Field Games and Applications (2010)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Continuous Auctions and Insider Trading (1985)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Mean field game of controls and an application to trade crowding (2017)A Machine Learning Framework for Solving High-Dimensional Mean Field Game and Mean Field Control Problems (2019)McKean–Vlasov SDEs under measure dependent Lyapunov conditions (2021)Well-posedness of distribution dependent SDEs with singular drifts (2021)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2007Mean field games2,638 cited
  • 2006An introduction to stochastic partial differential equations2,216 cited
  • 2006Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle1,574 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
  • 2018Probabilistic Theory of Mean Field Games with Applications II576 cited
  • 2018Probabilistic Theory of Mean Field Games with Applications I494 cited
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  • 2004Strong solutions of stochastic equations with singular time dependent drift420 cited
  • 1981ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS394 cited
  • 1986Mimicking the one-dimensional marginal distributions of processes having an ito differential305 cited
  • 2015Mean Field Games and systemic risk244 cited
  • 1995Zero-sum stochastic differential games and backward equations

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235 cited
  • 1988On the McKean‐Vlasov Limit for Interacting Diffusions235 cited
  • Cited by

    • 2020An Introduction to Mean Field Game Theory67 cited
    • 2019On the Convergence Problem in Mean Field Games: A Two State Model without Uniqueness61 cited
    • 2019Selection of equilibria in a linear quadratic mean-field game60 cited
    • 2022Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls50 cited
    • 2020Indefinite Linear Quadratic Mean Field Social Control Problems With Multiplicative Noise38 cited
    • 2020Convergence to the mean field game limit: A case study33 cited
    • 2022Extended mean field control problem: a propagation of chaos result31 cited
    • 2021Monotone solutions for mean field games master equations: finite state space and optimal stopping30 cited
    • 2023Mean field games of controls: On the convergence of Nash equilibria26 cited
    • 2023Closed-loop convergence for mean field games with common noise26 cited
    • 2024Wellposedness of Second Order Master Equations for Mean Field Games with Nonsmooth Data25 cited
    • 2021Optimal Policies for Convex Symmetric Stochastic Dynamic Teams and their Mean-Field Limit23 cited