A probabilistic approach to mean field games with major and minor players

Annals of Applied Probability

Volumn 26, Issue 3, 2016, Pages 1535-1580

  Carmona, René ^a   Zhu, Xiuneng ^a  

^a PRINCETON UNIVERSITY   (United States)

Author keywords

McKean Vlasov diffusion; Mean field games; Mean field forward backward stochastic differential equation; Mean field interaction; Stochastic control; Stochastic Pontryagin principle

Indexed keywords

EID: 84979084054     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/15-AAP1125     Document Type: Article

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