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On mean field games with common noise and McKean-Vlasov SPDEs
16 references·6 citing·27 second hop
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References

  • 2006Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle1,574 cited
  • 1998Stochastic Flows and Stochastic Differential Equations1,182 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
  • 2013Mean Field Games and Mean Field Type Control Theory761 cited
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  • 2018Probabilistic Theory of Mean Field Games with Applications II576 cited
  • 2013Probabilistic Analysis of Mean-Field Games435 cited
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  • 2010Large-Population LQG Games Involving a Major Player: The Nash Certainty Equivalence Principle326 cited
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  • 2016Mean field games with common noise204 cited
  • 2013$\epsilon$-Nash Mean Field Game Theory for Nonlinear Stochastic Dynamical Systems with Major and Minor Agents188 cited
  • 2013Risk-Sensitive Mean-Field Games179 cited
  • 2015A probabilistic weak formulation of mean field games and applications

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178 cited
  • 2015A general characterization of the mean field limit for stochastic differential games176 cited
  • Cited by

    • 2022McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations46 cited
    • 2021A General Stochastic Maximum Principle for Mean-Field Controls with Regime Switching34 cited
    • 2017Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation32 cited
    • 2019A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems32 cited
    • 2022Superposition and mimicking theorems for conditional McKean–Vlasov equations29 cited
    • 2017A stochastic McKean–Vlasov equation for absorbing diffusions on the half-line28 cited