Wellposedness of mean field games with common noise under a weak monotonicity condition

SIAM Journal on Control and Optimization

Volumn 54, Issue 1, 2016, Pages 30-48

  Ahuja, Saran ^a  

^a STANFORD UNIVERSITY   (United States)

Author keywords

Common noise; Forward backward stochastic differential equations; Mean field games; Stochastic maximum principle

Indexed keywords

DIFFERENTIAL EQUATIONS; FIXED POINT ARITHMETIC; MAXIMUM PRINCIPLE;

BANACH FIXED-POINT THEOREM; COMMON NOISE; EXISTENCE AND UNIQUENESS; FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; INDEPENDENCE ASSUMPTION; MEAN FIELD GAMES; MONOTONICITY CONDITIONS; STOCHASTIC MAXIMUM PRINCIPLES;

STOCHASTIC SYSTEMS;

EID: 84959878631     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/140974730     Document Type: Article

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