ON FIRST ORDER MEAN FIELD GAME SYSTEMS WITH A COMMON NOISE - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue The Annals of Applied Probability Année : 2022

ON FIRST ORDER MEAN FIELD GAME SYSTEMS WITH A COMMON NOISE

Résumé

We consider Mean Field Games without idiosyncratic but with Brownian type common noise. We introduce a notion of solutions of the associated backward-forward system of stochastic partial differential equations. We show that the solution exists and is unique for monotone coupling functions. This the first general result for solutions of the Mean Field Games system with common and no idiosynctratic noise. We also use the solution to find approximate optimal strategies (Nash equilibria) for N-player differential games with common but no idiosyncratic noise. An important step in the analysis is the study of the well-posedness of a stochastic backward Hamilton-Jacobi equation.
Fichier principal
Vignette du fichier
mfg_pierre_takis_2020_09_17.pdf (422.77 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-02946302 , version 1 (23-09-2020)

Identifiants

Citer

Pierre Cardaliaguet, Panagiotis E Souganidis. ON FIRST ORDER MEAN FIELD GAME SYSTEMS WITH A COMMON NOISE. The Annals of Applied Probability, 2022, 32 (3), pp.2289-2326. ⟨hal-02946302⟩
61 Consultations
96 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More