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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. ред. / 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; Том 1907).

Результаты исследований: Публикации в книгах, отчётах, сборниках, трудах конференций › статья в сборнике материалов конференции › научная › Рецензирование

Harvard

Kolokoltsov, VN & Troeva, M 2017, Mean-field games with common noise based on nonlinear diffusion processes. в PN Vabishchevich, SV Popov, NP Lazarev, MS Troeva, YM Grigor'ev, AO Ivanova, IE Egorov & MY Antonov (ред.), Proceedings of the 8th International Conference on Mathematical Modeling, ICMM 2017., 030049, AIP Conference Proceedings, Том. 1907, American Institute of Physics, 8th International Conference on Mathematical Modeling, ICMM 2017, Yakutsk, Российская Федерация, 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. в 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 (Ред.), Proceedings of the 8th International Conference on Mathematical Modeling, ICMM 2017 [030049] (AIP Conference Proceedings; Том 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. в Vabishchevich PN, Popov SV, Lazarev NP, Troeva MS, Grigor'ev YM, Ivanova AO, Egorov IE, Antonov MY, Редакторы, 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

Kolokoltsov, Vassili N. ; Troeva, Marianna. / Mean-field games with common noise based on nonlinear diffusion processes. Proceedings of the 8th International Conference on Mathematical Modeling, ICMM 2017. Редактор / 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. (AIP Conference Proceedings).

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 -

ID: 51530627