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Finite Difference Methods for Mean Field Games
16 references·7 citing·25 second hop
Finite Difference Methods for Mean Field Games (2013)Finite Difference Methods for Mean Field …Mean Field Games: Convergence of a Finite Difference Method (2013)Mean Field Games: Convergence…Mean Field Games: Numerical Methods for the Planning Problem (2012)Mean Field Games: Numerical M…MEAN FIELD GAMES EQUATIONS WITH QUADRATIC HAMILTONIAN: A SPECIFIC APPROACH (2012)MEAN FIELD GAMES EQUATIONS WI…Long time average of mean field games (2012)Long time average of mean fie…Explicit solutions of some linear-quadratic mean field games (2012)Explicit solutions of some li…Discrete Time, Finite State Space Mean Field Games (2011)Discrete Time, Finite State S…Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Paris-Princeton Lectures on M…Mean Field Games: Numerical Methods (2010)Mean Field Games: Numerical M…Mean Field Games and Applications (2010)Mean Field Games and Applicat…COMPUTATION OF MEAN FIELD EQUILIBRIA IN ECONOMICS (2010)COMPUTATION OF MEAN FIELD EQU…Discrete time, finite state space mean field games (2009)Discrete time, finite state s…A reference case for mean field games models (2009)A reference case for mean fie…Mean field games (2007)Mean field gamesJeux 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…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Mean field games of controls: Finite difference approximations (2020)Mean field games of controls:…Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2017)Income and Wealth Distributio…Mean Field Type Control with Congestion (2016)Mean Field Type Control with …Mean Field Type Control with Congestion (II): An Augmented Lagrangian Method (2016)Mean Field Type Control with …Time-Dependent Mean-Field Games with Logarithmic Nonlinearities (2015)Time-Dependent Mean-Field Gam…On the system of partial differential equations arising in mean field type control (2015)On the system of partial diff…Socio-economic applications of finite state mean field games (2014)Socio-economic applications o…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Stochastic Integration and Differential Equations (2005)ROBUST BOUNDS FOR FORWARD START OPTIONS (2010)Continuous Time Finite State Mean Field Games (2013)Mean field games via controlled martingale problems: Existence of Markovian equilibria (2015)Equilibrium points in n -person games (1950)The Bargaining Problem (1950)Mean Field Games Models—A Brief Survey (2013)Probabilistic Analysis of Mean-Field Games (2013)Theory of games and economic behavior (2019)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)Dynamic Noncooperative Game Theory (1982)Linear-Quadratic $N$-person and Mean-Field Games with Ergodic Cost (2014)Opinion Dynamics in Social Networks through Mean-Field Games (2016)Mean Field Games (2017)Markets with a Continuum of Traders (1964)Theory of Rational Option Pricing (1973)Continuous Auctions and Insider Trading (1985)Linear-Quadratic Mean Field Games (2015)Long Time Average of Mean Field Games with a Nonlocal Coupling (2013)
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References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 2007Mean field games2,638 cited
  • 2006Jeux à champ moyen. I – Le cas stationnaire965 cited
  • 2006Jeux à champ moyen. II – Horizon fini et contrôle optimal810 cited
  • 2010Mean Field Games and Applications589 cited
  • 2010Mean Field Games: Numerical Methods328 cited
  • 2012Mean Field Games: Numerical Methods for the Planning Problem206 cited
  • 2009Discrete time, finite state space mean field games186 cited
  • 2012Explicit solutions of some linear-quadratic mean field games163 cited
  • 2010Paris-Princeton Lectures on Mathematical Finance 2010149 cited
  • 2010COMPUTATION OF MEAN FIELD EQUILIBRIA IN ECONOMICS149 cited
  • 2012Long time average of mean field games145 cited
  • 2011Discrete Time, Finite State Space Mean Field Games117 cited
  • 2013Mean Field Games: Convergence of a Finite Difference Method98 cited
  • 2009A reference case for mean field games models93 cited
  • 2012MEAN FIELD GAMES EQUATIONS WITH QUADRATIC HAMILTONIAN: A SPECIFIC APPROACH76 cited

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Cited by

  • 2017Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach126 cited
  • 2015Time-Dependent Mean-Field Games with Logarithmic Nonlinearities55 cited
  • 2014Socio-economic applications of finite state mean field games53 cited
  • 2015On the system of partial differential equations arising in mean field type control49 cited
  • 2016Mean Field Type Control with Congestion32 cited
  • 2020Mean field games of controls: Finite difference approximations31 cited
  • 2016Mean Field Type Control with Congestion (II): An Augmented Lagrangian Method29 cited