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Probabilistic Theory of Mean Field Games with Applications II: Mean Field Games with Common Noise and Master Equations
Hardcover
Series: Probability Theory and Stochastic Modelling, Book 84
CalculusGeneral MathematicsProbability & Statistics
ISBN13: 9783319564357
Publisher: Springer Nature
Published: Mar 20 2018
Pages: 700
Weight: 2.60
Height: 1.50 Width: 6.14 Depth: 9.21
Language: English
This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions.
Volume II tackles the analysis of mean field games in which the players are affected by a common source of noise. The first part of the volume introduces and studies the concepts of weak and strong equilibria, and establishes general solvability results. The second part is devoted to the study of the master equation, a partial differential equation satisfied by the value function of the game over the space of probability measures. Existence of viscosity and classical solutions are proven and used to study asymptotics of games with finitely many players.
3 different editions
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Probabilistic Theory of Mean Field Games with Applications II: Mean Field Games with Common Noise and Master Equations
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Probabilistic Theory of Mean Field Games with Applications I: Mean Field Fbsdes, Control, and Games
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