Can I read Controlled diffusion Mean Field Games with common noise, and McKean-Vlasov second order backward SDEs on EtoBox?

Controlled diffusion Mean Field Games with common noise, and McKean-Vlasov second order backward SDEs by Barrasso, Adrien; Touzi, Nizar is a scholarly article available to read on EtoBox.

What is Controlled diffusion Mean Field Games with common noise, and McKean-Vlasov second order backward SDEs about?

We consider a mean field game with common noise in which the diffusion coefficients may be controlled. We prove existence of a weak relaxed solution under some continuity conditions on the coefficients. We then show that, when there is no common noise, the solution of this mean field game is characterized by a McKean-Vlasov type second order backward SDE.

Author

Barrasso, Adrien; Touzi, Nizar

Published

2020

Language

EN