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Selection of equilibria in a linear quadratic mean-field game
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Selection of equilibria in a linear quadratic mean-field game (2019)Selection of equilibria in a linear quadr…Mean field games with common noise (2016)Mean field games with common …Mean Field Games and systemic risk (2015)Mean Field Games and systemic…Probabilistic Analysis of Mean-Field Games (2013)Probabilistic Analysis of Mea…Control of McKean–Vlasov dynamics versus mean field games (2012)Control of McKean–Vlasov dyna…Mean Field Games and Applications (2010)Mean Field Games and Applicat…Mean field games (2007)Mean field gamesLarge 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…Strong solutions of stochastic equations with singular time dependent drift (2004)Strong solutions of stochasti…On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case (2002)On the existence and uniquene…A stochastic particle method for the McKean-Vlasov and the Burgers equation (1997)A stochastic particle method …Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Solving forward-backward stoc…ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS (1981)ON STRONG SOLUTIONS AND EXPLI…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)A TRANSFORMATION OF THE PHASE…Wellposedness of Second Order Master Equations for Mean Field Games with Nonsmooth Data (2024)Wellposedness of Second Order…Closed-loop convergence for mean field games with common noise (2023)Closed-loop convergence for m…Finite state mean field games with Wright–Fisher common noise (2021)Finite state mean field games…On non-uniqueness in mean field games (2020)On non-uniqueness in mean fie…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…Equilibrium points in n -person games (1950)The Bargaining Problem (1950)Mean Field Games Models—A Brief Survey (2013)Theory of games and economic behavior (2019)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)Stochastic controls : Hamiltonian systems and HJB equations (1999)Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria (2007)Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)Dynamic Noncooperative Game Theory (1982)The Theory of Learning in Games (1998)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)On the uniqueness of solutions of stochastic differential equations (1971)Stochastic Differential Equations and Diffusion Processes (1983)Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients (2007)Stochastic Homeomorphism Flows of SDEs with Singular Drifts and Sobolev Diffusion Coefficients (2011)Averaging along irregular curves and regularisation of ODEs (2016)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)On stochastic differential equations (1951)Optimization of the flow of dividends (1995)Ergodic Control of Diffusion Processes (2011)Controlled Diffusion Processes (1980)Adapted solution of a backward stochastic differential equation (1990)Stochastic Integration and Differential Equations (1990)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)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)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)
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References

  • 2007Mean field games2,638 cited
  • 2006Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle1,574 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 2006Jeux à champ moyen. I – Le cas stationnaire965 cited
  • 2006Jeux à champ moyen. II – Horizon fini et contrôle optimal810 cited
  • 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme740 cited
  • 2010Mean Field Games and Applications589 cited
  • 2013Probabilistic Analysis of Mean-Field Games435 cited
  • 1974A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT430 cited
  • 2004Strong solutions of stochastic equations with singular time dependent drift420 cited
  • 1981ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS394 cited
  • 2002On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case267 cited
  • 2015Mean Field Games and systemic risk244 cited
  • 2012Control of McKean–Vlasov dynamics versus mean field games238 cited
  • 2016Mean field games with common noise204 cited

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  • 1997A stochastic particle method for the McKean-Vlasov and the Burgers equation203 cited
  • Cited by

    • 2021Finite state mean field games with Wright–Fisher common noise44 cited
    • 2020Indefinite Linear Quadratic Mean Field Social Control Problems With Multiplicative Noise38 cited
    • 2020Convergence to the mean field game limit: A case study33 cited
    • 2020On non-uniqueness in mean field games27 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