Standard
Mean-field games with common noise based on nonlinear diffusion processes. / Kolokoltsov, Vassili N.; Troeva, Marianna.
Proceedings of the 8th International Conference on Mathematical Modeling, ICMM 2017. ed. / 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. American Institute of Physics, 2017. 030049 (AIP Conference Proceedings; Vol. 1907).
Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Research › peer-review
Harvard
Kolokoltsov, VN & Troeva, M 2017,
Mean-field games with common noise based on nonlinear diffusion processes. in PN Vabishchevich, SV Popov, NP Lazarev, MS Troeva, YM Grigor'ev, AO Ivanova, IE Egorov & MY Antonov (eds),
Proceedings of the 8th International Conference on Mathematical Modeling, ICMM 2017., 030049, AIP Conference Proceedings, vol. 1907, American Institute of Physics, 8th International Conference on Mathematical Modeling, ICMM 2017, Yakutsk, Russian Federation,
4/07/17.
https://doi.org/10.1063/1.5012671
APA
Kolokoltsov, V. N., & Troeva, M. (2017).
Mean-field games with common noise based on nonlinear diffusion processes. In P. N. Vabishchevich, S. V. Popov, N. P. Lazarev, M. S. Troeva, Y. M. Grigor'ev, A. O. Ivanova, I. E. Egorov, & M. Y. Antonov (Eds.),
Proceedings of the 8th International Conference on Mathematical Modeling, ICMM 2017 [030049] (AIP Conference Proceedings; Vol. 1907). American Institute of Physics.
https://doi.org/10.1063/1.5012671
Vancouver
Kolokoltsov VN, Troeva M.
Mean-field games with common noise based on nonlinear diffusion processes. In Vabishchevich PN, Popov SV, Lazarev NP, Troeva MS, Grigor'ev YM, Ivanova AO, Egorov IE, Antonov MY, editors, Proceedings of the 8th International Conference on Mathematical Modeling, ICMM 2017. American Institute of Physics. 2017. 030049. (AIP Conference Proceedings).
https://doi.org/10.1063/1.5012671
Author
BibTeX
@inproceedings{50bc0b05efd841bd8e49daaadcd059cd,
title = "Mean-field games with common noise based on nonlinear diffusion processes",
abstract = "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.",
author = "Kolokoltsov, {Vassili N.} and Marianna Troeva",
year = "2017",
month = nov,
day = "14",
doi = "10.1063/1.5012671",
language = "English",
series = "AIP Conference Proceedings",
publisher = "American Institute of Physics",
editor = "Vabishchevich, {Petr N.} and Popov, {Sergey V.} and Lazarev, {Nyurgun P.} and Troeva, {Marianna S.} and Grigor'ev, {Yuri M.} and Ivanova, {Anna O.} and Egorov, {Ivan E.} and Antonov, {Mikhail Yu.}",
booktitle = "Proceedings of the 8th International Conference on Mathematical Modeling, ICMM 2017",
address = "United States",
note = "8th International Conference on Mathematical Modeling, ICMM 2017 ; Conference date: 04-07-2017 Through 08-07-2017",
}
RIS
TY - GEN
T1 - Mean-field games with common noise based on nonlinear diffusion processes
AU - Kolokoltsov, Vassili N.
AU - Troeva, Marianna
PY - 2017/11/14
Y1 - 2017/11/14
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85036549825&partnerID=8YFLogxK
U2 - 10.1063/1.5012671
DO - 10.1063/1.5012671
M3 - Conference contribution
AN - SCOPUS:85036549825
T3 - AIP Conference Proceedings
BT - Proceedings of the 8th International Conference on Mathematical Modeling, ICMM 2017
A2 - Vabishchevich, Petr N.
A2 - Popov, Sergey V.
A2 - Lazarev, Nyurgun P.
A2 - Troeva, Marianna S.
A2 - Grigor'ev, Yuri M.
A2 - Ivanova, Anna O.
A2 - Egorov, Ivan E.
A2 - Antonov, Mikhail Yu.
PB - American Institute of Physics
T2 - 8th International Conference on Mathematical Modeling, ICMM 2017
Y2 - 4 July 2017 through 8 July 2017
ER -
