From the master equation to mean field game limit theory: Large deviations and concentration of measure

Annals of Probability

Volumn 48, Issue 1, 2020, Pages 211-263

  Delarue, François ^a   Lacker, Daniel ^b   Ramanan, Kavita ^c  

^a UNIVERSITÉ CÔTE D'AZUR   (France)

^b Columbia University ^*  (United States)

^c BROWN UNIVERSITY   (United States)

Author keywords

Common noise; Concentration of measure; Interacting particle systems; Large deviation principle; Linear quadratic systems; Master equation; McKean Vlasov limit; Mean field games; Systemic risk; Transport inequalities

Indexed keywords

EID: 85086705967     PISSN: 00911798     EISSN: 2168894X     Source Type: Journal    
DOI: 10.1214/19-AOP1359     Document Type: Article

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