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Control of McKean-Vlasov dynamics versus mean field games

Author(s): Carmona, Rene; Delarue, F; Lachapelle, A

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dc.contributor.authorCarmona, Rene-
dc.contributor.authorDelarue, F-
dc.contributor.authorLachapelle, A-
dc.date.accessioned2021-10-11T14:17:32Z-
dc.date.available2021-10-11T14:17:32Z-
dc.date.issued2013-01-01en_US
dc.identifier.citationCarmona, R, Delarue, F, Lachapelle, A. (2013). Control of McKean-Vlasov dynamics versus mean field games. Mathematics and Financial Economics, 7 (2), 131 - 166. doi:10.1007/s11579-012-0089-yen_US
dc.identifier.issn1862-9679-
dc.identifier.urihttp://arks.princeton.edu/ark:/88435/pr1828j-
dc.description.abstractWe discuss and compare two investigation methods for the asymptotic regime of stochastic differential games with a finite number of players as the number of players tends to the infinity. These two methods differ in the order in which optimization and passage to the limit are performed. When optimizing first, the asymptotic problem is usually referred to as a mean-field game. Otherwise, it reads as an optimization problem over controlled dynamics of McKean-Vlasov type. Both problems lead to the analysis of forward-backward stochastic differential equations, the coefficients of which depend on the marginal distributions of the solutions. We explain the difference between the nature and solutions to the two approaches by investigating the corresponding forward-backward systems. General results are stated and specific examples are treated, especially when cost functionals are of linear-quadratic type. © 2012 Springer-Verlag.en_US
dc.format.extent131 - 166en_US
dc.language.isoen_USen_US
dc.relation.ispartofMathematics and Financial Economicsen_US
dc.rightsAuthor's manuscripten_US
dc.titleControl of McKean-Vlasov dynamics versus mean field gamesen_US
dc.typeJournal Articleen_US
dc.identifier.doidoi:10.1007/s11579-012-0089-y-
dc.identifier.eissn1862-9660-
pu.type.symplectichttp://www.symplectic.co.uk/publications/atom-terms/1.0/journal-articleen_US

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