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A probabilistic weak formulation of mean field games and applications

Author(s): Carmona, Rene; Lacker, D

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Abstract: © Institute of Mathematical Statistics, 2015. Mean field games are studied by means of the weak formulation of stochastic optimal control. This approach allows the mean field interactions to enter through both state and control processes and take a form which is general enough to include rank and nearest-neighbor effects. Moreover, the data may depend discontinuously on the state variable, and more generally its entire history. Existence and uniqueness results are proven, along with a procedure for identifying and constructing distributed strategies which provide approximate Nash equlibria for finite-player games. Our results are applied to a new class of multi-agent price impact models and a class of flocking models for which we prove existence of equilibria.
Publication Date: 1-Jan-2015
Citation: Carmona, R, Lacker, D. (2015). A probabilistic weak formulation of mean field games and applications. Annals of Applied Probability, 25 (3), 1189 - 1231. doi:10.1214/14-AAP1020
DOI: doi:10.1214/14-AAP1020
ISSN: 1050-5164
Pages: 1189 - 1231
Type of Material: Journal Article
Journal/Proceeding Title: Annals of Applied Probability
Version: Author's manuscript

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