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2015 Translation invariant mean field games with common noise
Daniel Lacker, Kevin Webster
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Electron. Commun. Probab. 20: 1-13 (2015). DOI: 10.1214/ECP.v20-3822

Abstract

This note highlights a special class of mean field games in which the coefficients satisfy a convolution-type structural condition. A mean field game of this type with common noise is related to a certain mean field game without common noise by a simple transformation, which permits a tractable construction of a solution of the problem with common noise from a solution of the problem without. This yields new existence results for common noise problems, notably allowing controlled volatility, as well as new uniqueness results for problems without common noise.

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Daniel Lacker. Kevin Webster. "Translation invariant mean field games with common noise." Electron. Commun. Probab. 20 1 - 13, 2015. https://doi.org/10.1214/ECP.v20-3822

Information

Accepted: 10 June 2015; Published: 2015
First available in Project Euclid: 7 June 2016

zbMATH: 1332.60102
MathSciNet: MR3358964
Digital Object Identifier: 10.1214/ECP.v20-3822

Subjects:
Primary: 60H30
Secondary: 91A15

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