Mean Field Games with a Dominating Player

Applied Mathematics and Optimization

Volumn 74, Issue 1, 2016, Pages 91-128

  Bensoussan, A ^a,b   Chau, M H M ^c   Yam, S C P ^c  

^a UNIVERSITY OF TEXAS AT DALLAS   (United States)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^c CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Adjoint equation approach Stochastic maximum principle; Banach fixed point theorem; Dominating player; Linear quadratic; Mean field games; Separation principle; Stochastic Hamilton Jacobi Bellman equations; Wasserstein metric

Indexed keywords

DYNAMIC PROGRAMMING; FIXED POINT ARITHMETIC; MAXIMUM PRINCIPLE;

ADJOINT EQUATIONS; BANACH FIXED-POINT THEOREM; BELLMAN EQUATIONS; DOMINATING PLAYER; LINEAR QUADRATIC; MEAN FIELD GAMES; SEPARATION PRINCIPLE; WASSERSTEIN METRIC;

STOCHASTIC SYSTEMS;

EID: 84937898078     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/s00245-015-9309-1     Document Type: Article

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