Mean-field games with common noise based on nonlinear diffusion processes

DOI

https://doi.org/10.1063/1.5012671
Final published version

Vassili N. Kolokoltsov
Marianna Troeva

The aim of the paper is to study of the mean field games with common noise. The MFG limit is specified by a single quasi-linear deterministic infinite-dimensional partial differential second order backward equation. We show that any its solution provides an 1/N-Nash equilibrium for the initial game of N agents. Our basic approach is based on interpreting the common noise as a kind of binary interaction of agents and then reducing the problem to the sensitivity analysis for McKean-Vlasov SPDE.

Original language	English
Title of host publication	Proceedings of the 8th International Conference on Mathematical Modeling, ICMM 2017
Editors	Petr N. Vabishchevich, Sergey V. Popov, Nyurgun P. Lazarev, Marianna S. Troeva, Yuri M. Grigor'ev, Anna O. Ivanova, Ivan E. Egorov, Mikhail Yu. Antonov
Publisher	American Institute of Physics
ISBN (Electronic)	9780735415997
DOIs	https://doi.org/10.1063/1.5012671
State	Published - 14 Nov 2017
Event	8th International Conference on Mathematical Modeling, ICMM 2017 - Yakutsk, Russian Federation Duration: 4 Jul 2017 → 8 Jul 2017

Publication series

Name	AIP Conference Proceedings
Volume	1907
ISSN (Print)	0094-243X
ISSN (Electronic)	1551-7616

Conference

Conference	8th International Conference on Mathematical Modeling, ICMM 2017
Country/Territory	Russian Federation
City	Yakutsk
Period	4/07/17 → 8/07/17

Scopus subject areas

Physics and Astronomy(all)

ID: 51530627