-
1
-
-
84907863441
-
Partial differential equation models in macroeconomics
-
Oct
-
Y. Achdou, F. Buera, J.M. Lasry, P.L. Lions, and B. Moll. Partial differential equation models in macroeconomics. Philosophical Transactions of the Royal Society, A, 372, Oct. 2014.
-
(2014)
Philosophical Transactions of the Royal Society, A
, vol.372
-
-
Achdou, Y.1
Buera, F.2
Lasry, J.M.3
Lions, P.L.4
Moll, B.5
-
5
-
-
84926643959
-
On the system of partial differential equations arising in mean field type control
-
Y. Achdou and M. Laurière. On the system of partial differential equations arising in mean field type control. Discrete and Continuous Dynamical Systems, A, 35:3879–3900, 2015.
-
(2015)
Discrete and Continuous Dynamical Systems, A
, vol.35
, pp. 3879-3900
-
-
Achdou, Y.1
Laurière, M.2
-
6
-
-
84865566007
-
Iterative strategies for solving linearized discrete mean field games systems
-
Y. Achdou and V. Perez. Iterative strategies for solving linearized discrete mean field games systems. Networks and Heterogeneous Media, 7:197–217, 2012.
-
(2012)
Networks and Heterogeneous Media
, vol.7
, pp. 197-217
-
-
Achdou, Y.1
Perez, V.2
-
7
-
-
84960841215
-
Convergence of a finite difference scheme to weak solutions of the system of partial differential equations arising in mean field games
-
Y. Achdou and A. Porretta. Convergence of a finite difference scheme to weak solutions of the system of partial differential equations arising in mean field games. SIAM Journal on Numerical Analysis, 54:161–186.
-
SIAM Journal on Numerical Analysis
, vol.54
, pp. 161-186
-
-
Achdou, Y.1
Porretta, A.2
-
8
-
-
84883739204
-
Mean field equilibrium in dynamic games with strategic complementarities
-
S. Adlakha and R. Johari. Mean field equilibrium in dynamic games with strategic complementarities. Operations Research, 61:971–989, 2013.
-
(2013)
Operations Research
, vol.61
, pp. 971-989
-
-
Adlakha, S.1
Johari, R.2
-
10
-
-
0000367928
-
A model of growth through creative destruction
-
P. Aghion and P. Howitt. A model of growth through creative destruction. Econometrica, 60:323–352, 1992.
-
(1992)
Econometrica
, vol.60
, pp. 323-352
-
-
Aghion, P.1
Howitt, P.2
-
11
-
-
84959878631
-
Wellposedness of mean field games with common noise under a weak monotonicity condition
-
S. Ahuja. Wellposedness of mean field games with common noise under a weak monotonicity condition. SIAM Journal on Control and Optimization, 54:30–48, 2016.
-
(2016)
SIAM Journal on Control and Optimization
, vol.54
, pp. 30-48
-
-
Ahuja, S.1
-
12
-
-
21844504524
-
Uninsured idiosyncratic risk and aggregate saving
-
S.R. Aiyagari. Uninsured idiosyncratic risk and aggregate saving. The Quarterly Journal of Economics, 109:659–684, 1994.
-
(1994)
The Quarterly Journal of Economics
, vol.109
, pp. 659-684
-
-
Aiyagari, S.R.1
-
15
-
-
85130886110
-
-
D. Aldous. Weak convergence and the general theory of processes. Unpublished notes. http://www.stat.berkeley.edu/~aldous/Papers/weak-gtp.pdf, 1983.
-
D. Aldous. Weak convergence and the general theory of processes. Unpublished notes. http://www.stat.berkeley.edu/~aldous/Papers/weak-gtp.pdf, 1983.
-
-
-
-
18
-
-
0344354031
-
Optimal execution of portfolio transactions
-
R. Almgren and N. Chriss. Optimal execution of portfolio transactions. Journal of Risk, 3:5–39, 2001.
-
(2001)
Journal of Risk
, vol.3
, pp. 5-39
-
-
Almgren, R.1
Chriss, N.2
-
20
-
-
84895906937
-
On a class of first order Hamilton-Jacobi equations in metric spaces
-
L. Ambrosio and J. Feng. On a class of first order Hamilton-Jacobi equations in metric spaces. Journal of Differential Equations, 256:2194–2245, 2014.
-
(2014)
Journal of Differential Equations
, vol.256
, pp. 2194-2245
-
-
Ambrosio, L.1
Feng, J.2
-
22
-
-
55649100769
-
Maximum principle for stochastic differential games with partial information
-
T.T.K. An and B. Oksendal. Maximum principle for stochastic differential games with partial information. Journal of Optimization Theory and Applications, 139:463–483, 2008.
-
(2008)
Journal of Optimization Theory and Applications
, vol.139
, pp. 463-483
-
-
An, T.T.K.1
Oksendal, B.2
-
23
-
-
84860347435
-
A maximum principle for stochastic differential games with g-expectations and partial information
-
T.T.K. An and B. Oksendal. A maximum principle for stochastic differential games with g-expectations and partial information. Stochastics, 84:137–155, 2012.
-
(2012)
Stochastics
, vol.84
, pp. 137-155
-
-
An, T.T.K.1
Oksendal, B.2
-
25
-
-
0000580597
-
Backward-forward stochastic differential equations
-
F. Antonelli. Backward-forward stochastic differential equations. Annals of Applied Probability, 3:777–793, 1993.
-
(1993)
Annals of Applied Probability
, vol.3
, pp. 777-793
-
-
Antonelli, F.1
-
27
-
-
0002056057
-
Markets with a continuum of traders
-
R. Aumann. Markets with a continuum of traders. Econometrica, 32:39–50, 1964.
-
(1964)
Econometrica
, vol.32
, pp. 39-50
-
-
Aumann, R.1
-
28
-
-
0002413726
-
Existence of competitive equilibrium in markets with continuum of traders
-
R. J. Aumann. Existence of competitive equilibrium in markets with continuum of traders. Econometrica, 34:1–17, 1966.
-
(1966)
Econometrica
, vol.34
, pp. 1-17
-
-
Aumann, R.J.1
-
30
-
-
0020021698
-
Small random perturbations of Peano phenomena
-
R. Bafico and P. Baldi. Small random perturbations of Peano phenomena. Stochastics, 6:279– 292, 1982.
-
(1982)
Stochastics
, vol.6
, pp. 279-292
-
-
Bafico, R.1
Baldi, P.2
-
31
-
-
34248358218
-
A maximum principle for stochastic control with partial information
-
F. Baghery and B. Oksendal. A maximum principle for stochastic control with partial information. Stochastic Analysis and Applications, 25:705–717, 2007.
-
(2007)
Stochastic Analysis and Applications
, vol.25
, pp. 705-717
-
-
Baghery, F.1
Oksendal, B.2
-
32
-
-
84868005526
-
Weak solutions and a Yamada-Watanabe theorem for FBSDEs
-
K. Bahlali, B. Mezerdi, M. N’zi, and Y. Ouknine. Weak solutions and a Yamada-Watanabe theorem for FBSDEs. Random Operators and Stochastic Equations, 15:271–285, 2007.
-
(2007)
Random Operators and Stochastic Equations
, vol.15
, pp. 271-285
-
-
Bahlali, K.1
Mezerdi, B.2
N’Zi, M.3
Ouknine, Y.4
-
33
-
-
84865608369
-
Explicit solutions of some linear quadratic mean field games
-
M. Bardi. Explicit solutions of some linear quadratic mean field games. Networks and Heterogeneous Media, 7:243–261, 2012.
-
(2012)
Networks and Heterogeneous Media
, vol.7
, pp. 243-261
-
-
Bardi, M.1
-
35
-
-
84911092308
-
Linear-quadratic N-person and mean-field games with ergodic cost
-
M. Bardi and F. Priuli. Linear-quadratic N-person and mean-field games with ergodic cost. SIAM Journal on Control and Optimization, 52:3022–3052, 2014.
-
(2014)
SIAM Journal on Control and Optimization
, vol.52
, pp. 3022-3052
-
-
Bardi, M.1
Priuli, F.2
-
36
-
-
85130951959
-
-
F. Barthe and C. Bordenave. Combinatorial optimization over two random point sets. In C. Donati-Martin et al., editors, Séminaire de Probabilités XLV. Volume 2046 of Lecture Notes in Mathematics, pages 483–536. Springer International Publilshing, 2013.
-
F. Barthe and C. Bordenave. Combinatorial optimization over two random point sets. In C. Donati-Martin et al., editors, Séminaire de Probabilités XLV. Volume 2046 of Lecture Notes in Mathematics, pages 483–536. Springer International Publilshing, 2013.
-
-
-
-
37
-
-
85015257280
-
An approximate Nash equilibrium for pure jump Markov games of mean-field-type on continuous state space
-
R. Basna, A. Hilbert, and V.N. Kolokolstov. An approximate Nash equilibrium for pure jump Markov games of mean-field-type on continuous state space. Stochastics, 89:967–993, 2017.
-
(2017)
Stochastics
, vol.89
, pp. 967-993
-
-
Basna, R.1
Hilbert, A.2
Kolokolstov, V.N.3
-
39
-
-
0001584203
-
Some potential theory for reflecting Brownian motion in Hölder and Lipschitz domains
-
R.F. Bass and P. Hsu. Some potential theory for reflecting Brownian motion in Hölder and Lipschitz domains. Annals of Probability, 19:486–508, 1991.
-
(1991)
Annals of Probability
, vol.19
, pp. 486-508
-
-
Bass, R.F.1
Hsu, P.2
-
41
-
-
0034407460
-
A computational fluid mechanics solution to the Monge-Kantorovich mass transfer problem
-
J.-D. Benamou and Y. Brenier. A computational fluid mechanics solution to the Monge-Kantorovich mass transfer problem. Numerische Mathematik, 84:375–393, 2000.
-
(2000)
Numerische Mathematik
, vol.84
, pp. 375-393
-
-
Benamou, J.-D.1
Brenier, Y.2
-
42
-
-
84941420139
-
Augmented Lagrangian methods for transport optimization, mean field games and degenerate elliptic equations
-
J.D. Benamou and G. Carlier. Augmented Lagrangian methods for transport optimization, mean field games and degenerate elliptic equations. Journal of Optimization Theory and Applications, 167:1–26, 2015.
-
(2015)
Journal of Optimization Theory and Applications
, vol.167
, pp. 1-26
-
-
Benamou, J.D.1
Carlier, G.2
-
43
-
-
85130875273
-
An augmented Lagrangian numerical approach to solving mean field games
-
Technical report
-
J.D. Benamou, G. Carlier, and N. Bonne. An augmented Lagrangian numerical approach to solving mean field games. Technical report, INRIA, 2013. https://hal.inria.fr/hal-00922349/
-
(2013)
INRIA
-
-
Benamou, J.D.1
Carlier, G.2
Bonne, N.3
-
53
-
-
84945273282
-
Linear quadratic mean field games
-
A. Bensoussan, K.C.J. Sung, S.C.P. Yam, and S.P. Yung. Linear quadratic mean field games. Journal of Optimization Theory and Applications, 169:469–529, 2016.
-
(2016)
Journal of Optimization Theory and Applications
, vol.169
, pp. 469-529
-
-
Bensoussan, A.1
Sung, K.C.J.2
Yam, S.C.P.3
Yung, S.P.4
-
59
-
-
33144490083
-
Rational expectations equilibria of economies with local interactions
-
A. Bisin, U. Horst, and O. Özgür. Rational expectations equilibria of economies with local interactions. Journal of Economic Theory, 127:74–116, 2006.
-
(2006)
Journal of Economic Theory
, vol.127
, pp. 74-116
-
-
Bisin, A.1
Horst, U.2
Özgür, O.3
-
62
-
-
0003001464
-
An introductory approach to duality in optimal stochastic control
-
J.M. Bismut. An introductory approach to duality in optimal stochastic control. SIAM Review, 20:62–78, 1978.
-
(1978)
SIAM Review
, vol.20
, pp. 62-78
-
-
Bismut, J.M.1
-
65
-
-
51549090039
-
Controlled diffusion processes
-
V.S. Borkar. Controlled diffusion processes. Probability Surveys, 2:213–244, 2005.
-
(2005)
Probability Surveys
, vol.2
, pp. 213-244
-
-
Borkar, V.S.1
-
66
-
-
85130950573
-
Ergodic control of diffusion processes. In Marta Sanz-Solé et al., editors, Proceedings of the International Congress of Mathematics, Madrid, Spain, pages 1299–1309. European Mathematical
-
V.S. Borkar. Ergodic control of diffusion processes. In Marta Sanz-Solé et al., editors, Proceedings of the International Congress of Mathematics, Madrid, Spain, pages 1299–1309. European Mathematical Society, 2006.
-
(2006)
Society
-
-
Borkar, V.S.1
-
67
-
-
85130932529
-
-
P. Brémaud. Point Processes and Queues: Martingale Dynamics. Springer Series in Statistics. Springer-Verlag New York, 1981.
-
P. Brémaud. Point Processes and Queues: Martingale Dynamics. Springer Series in Statistics. Springer-Verlag New York, 1981.
-
-
-
-
69
-
-
84990623199
-
Polar factorization and monotone rearrangement of vector-valued functions
-
Y. Brenier. Polar factorization and monotone rearrangement of vector-valued functions. Communications on Pure and Applied Mathematics, 44:375–417, 1991.
-
(1991)
Communications on Pure and Applied Mathematics
, vol.44
, pp. 375-417
-
-
Brenier, Y.1
-
70
-
-
0005290551
-
Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
-
P. Briand and Y. Hu. Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs. Journal of Functional Analysis, 155:455–494, 1998.
-
(1998)
Journal of Functional Analysis
, vol.155
, pp. 455-494
-
-
Briand, P.1
Hu, Y.2
-
71
-
-
33749034499
-
BSDE with quadratic growth and unbounded terminal value
-
P. Briand and Y. Hu. BSDE with quadratic growth and unbounded terminal value. Probability Theory and Related Fields, 136:604–618, 2006.
-
(2006)
Probability Theory and Related Fields
, vol.136
, pp. 604-618
-
-
Briand, P.1
Hu, Y.2
-
72
-
-
84879748254
-
Mimicking an Itô process by a solution of a stochastic differential equation
-
G. Brunick and S. Shreve. Mimicking an Itô process by a solution of a stochastic differential equation. Annals of Applied Probability, 23:1584–1628, 2013.
-
(2013)
Annals of Applied Probability
, vol.23
, pp. 1584-1628
-
-
Brunick, G.1
Shreve, S.2
-
73
-
-
12444261339
-
A model of reserves, bank runs and deposit insurance
-
J. Bryant. A model of reserves, bank runs and deposit insurance. Journal of Banking and Finance, 4:335–344, 1980.
-
(1980)
Journal of Banking and Finance
, vol.4
, pp. 335-344
-
-
Bryant, J.1
-
74
-
-
69749102885
-
Mean field backward stochastic differential equations and related partial differential equations
-
R. Buckdahn, B. Djehiche, and J. Li. Mean field backward stochastic differential equations and related partial differential equations. Stochastic Processes and their Applications, 119:3133–3154, 2007.
-
(2007)
Stochastic Processes and Their Applications
, vol.119
, pp. 3133-3154
-
-
Buckdahn, R.1
Djehiche, B.2
Li, J.3
-
75
-
-
69249229620
-
Mean field backward stochastic differential equations: A limit approach
-
R. Buckdahn, B. Djehiche, J. Li, and S. Peng. Mean field backward stochastic differential equations: A limit approach. Annals of Probability, 37:1524–1565, 2009.
-
(2009)
Annals of Probability
, vol.37
, pp. 1524-1565
-
-
Buckdahn, R.1
Djehiche, B.2
Li, J.3
Peng, S.4
-
77
-
-
42549161055
-
On the continuity of weak solutions of backward stochastic differential equations
-
R. Buckdahn and H.-J. Engelbert. On the continuity of weak solutions of backward stochastic differential equations. Theory of Probability and its Applications, 52:152–160, 2008.
-
(2008)
Theory of Probability and Its Applications
, vol.52
, pp. 152-160
-
-
Buckdahn, R.1
Engelbert, H.-J.2
-
79
-
-
85017161972
-
Mean-field stochastic differential equations and associated PDEs
-
R. Buckdahn, J. Li, S. Peng, and C. Rainer. Mean-field stochastic differential equations and associated PDEs. Annals of Probability, 45:824–878, 2017.
-
(2017)
Annals of Probability
, vol.45
, pp. 824-878
-
-
Buckdahn, R.1
Li, J.2
Peng, S.3
Rainer, C.4
-
80
-
-
0040115545
-
Stationary backward stochastic differential equations and associated partial differential equations
-
R. Buckdahn and S. Peng. Stationary backward stochastic differential equations and associated partial differential equations. Probability Theory and Related Fields, 115:383– 399, 1999.
-
(1999)
Probability Theory and Related Fields
, vol.115
, pp. 383-399
-
-
Buckdahn, R.1
Peng, S.2
-
84
-
-
84887524276
-
Long time average of first order mean field games and weak KAM theory
-
P. Cardaliaguet. Long time average of first order mean field games and weak KAM theory. Dynamic Games and Applications, 3:473–488, 2013.
-
(2013)
Dynamic Games and Applications
, vol.3
, pp. 473-488
-
-
Cardaliaguet, P.1
-
85
-
-
85130966310
-
-
P. Cardaliaguet. Weak solutions for first order mean field games with local coupling. In P. Bettiol et al., editors, Analysis and Geometry in Control Theory and its Applications. Springer INdAM Series, pages 111–158. Springer International Publishing, 2015.
-
P. Cardaliaguet. Weak solutions for first order mean field games with local coupling. In P. Bettiol et al., editors, Analysis and Geometry in Control Theory and its Applications. Springer INdAM Series, pages 111–158. Springer International Publishing, 2015.
-
-
-
-
88
-
-
84942369075
-
Second order mean field games with degenerate diffusion and local coupling
-
P. Cardaliaguet, J. Graber, A. Porretta, and D. Tonon. Second order mean field games with degenerate diffusion and local coupling. Nonlinear Differential Equations and Applications NoDEA, 22:1287–1317, 2015.
-
(2015)
Nonlinear Differential Equations and Applications Nodea
, vol.22
, pp. 1287-1317
-
-
Cardaliaguet, P.1
Graber, J.2
Porretta, A.3
Tonon, D.4
-
90
-
-
84865574440
-
Long time average of mean field games
-
P. Cardaliaguet, J.M. Lasry, P.L. Lions, and A. Porretta. Long time average of mean field games. Networks and Heterogeneous Media, 7:279–301, 2012.
-
(2012)
Networks and Heterogeneous Media
, vol.7
, pp. 279-301
-
-
Cardaliaguet, P.1
Lasry, J.M.2
Lions, P.L.3
Porretta, A.4
-
91
-
-
84890470397
-
Long time average of mean field games with a nonlocal coupling
-
P. Cardaliaguet, J.M. Lasry, P.L. Lions, and A. Porretta. Long time average of mean field games with a nonlocal coupling. SIAM Journal on Control and Optimization, 51:3558–3591, 2013.
-
(2013)
SIAM Journal on Control and Optimization
, vol.51
, pp. 3558-3591
-
-
Cardaliaguet, P.1
Lasry, J.M.2
Lions, P.L.3
Porretta, A.4
-
94
-
-
85130977206
-
Lectures on BSDEs, Stochastic Control and Stochastic Differential Games
-
R. Carmona. Lectures on BSDEs, Stochastic Control and Stochastic Differential Games. SIAM, 2015.
-
(2015)
SIAM
-
-
Carmona, R.1
-
97
-
-
84919448149
-
The master equation for large population equilibriums
-
R. Carmona and F. Delarue. The master equation for large population equilibriums. In D. Crisan, B. Hambly, T. Zariphopoulou, editors, Stochastic Analysis and Applications 2014: In Honour of Terry Lyons, pages 77–128. Springer Cham, 2014.
-
(2014)
D. Crisan, B. Hambly, T. Zariphopoulou, Editors, Stochastic Analysis and Applications 2014: In Honour of Terry Lyons, Pages 77–128. Springer Cham
-
-
Carmona, R.1
Delarue, F.2
-
98
-
-
84947717362
-
Forward-backward stochastic differential equations and controlled Mckean Vlasov dynamics
-
R. Carmona and F. Delarue. Forward-backward stochastic differential equations and controlled Mckean Vlasov dynamics. Annals of Probability, 43:2647–2700, 2015.
-
(2015)
Annals of Probability
, vol.43
, pp. 2647-2700
-
-
Carmona, R.1
Delarue, F.2
-
103
-
-
84925426147
-
A probabilistic weak formulation of mean field games and applications
-
R. Carmona and D. Lacker. A probabilistic weak formulation of mean field games and applications. Annals of Applied Probability, 25:1189–1231, 2015.
-
(2015)
Annals of Applied Probability
, vol.25
, pp. 1189-1231
-
-
Carmona, R.1
Lacker, D.2
-
106
-
-
85021722713
-
An alternative approach to mean field game with major and minor players, and applications to herders impacts
-
R. Carmona and P. Wang. An alternative approach to mean field game with major and minor players, and applications to herders impacts. Applied Mathematics & Optimization, 76:5–27, 2017.
-
(2017)
Applied Mathematics & Optimization
, vol.76
, pp. 5-27
-
-
Carmona, R.1
Wang, P.2
-
107
-
-
85130909772
-
The self financing condition in high frequency markets
-
to appear
-
R. Carmona and K. Webster. The self financing condition in high frequency markets. Finance Stochastics, to appear.
-
Finance Stochastics
-
-
Carmona, R.1
Webster, K.2
-
108
-
-
85130971909
-
A Stackelberg equilibrium for the Limit Order Book
-
to appear
-
R. Carmona and K. Webster. A Stackelberg equilibrium for the Limit Order Book. Mathematical Finance, to appear.
-
Mathematical Finance
-
-
Carmona, R.1
Webster, K.2
-
109
-
-
38149146332
-
Reflecting Brownian motions and comparison theorems for Neumann heat kernels
-
R. Carmona and W.I. Zheng. Reflecting Brownian motions and comparison theorems for Neumann heat kernels. Journal of Functional Analysis, 123:109–128, 1994.
-
(1994)
Journal of Functional Analysis
, vol.123
, pp. 109-128
-
-
Carmona, R.1
Zheng, W.I.2
-
110
-
-
84979084054
-
A probabilistic approach to mean field games with major and minor players
-
R. Carmona and G. Zhu. A probabilistic approach to mean field games with major and minor players. Annals of Applied Probability, 26:1535–1580, 2016.
-
(2016)
Annals of Applied Probability
, vol.26
, pp. 1535-1580
-
-
Carmona, R.1
Zhu, G.2
-
115
-
-
0003871344
-
Introduction to Numerical Linear Algebra and Optimisation
-
Cambridge University Press
-
P. G. Ciarlet. Introduction to Numerical Linear Algebra and Optimisation. Cambridge Texts in Applied Mathematics. Cambridge University Press, 1989.
-
(1989)
Cambridge Texts in Applied Mathematics
-
-
Ciarlet, P.G.1
-
117
-
-
84926524427
-
Multi-population mean field games systems with Neumann boundary conditions
-
M. Cirant. Multi-population mean field games systems with Neumann boundary conditions. Journal de Mathématiques Pures et Appliquées, 103:1294–1315, 2015.
-
(2015)
Journal De Mathématiques Pures Et Appliquées
, vol.103
, pp. 1294-1315
-
-
Cirant, M.1
-
119
-
-
85019614845
-
Bifurcation and segregation in quadratic two-populations mean field games systems
-
M. Cirant and G. Verzini. Bifurcation and segregation in quadratic two-populations mean field games systems. ESAIM: Control, Optimisation and Calculus of Variations, 23:1145– 1177, 2017.
-
(2017)
ESAIM: Control, Optimisation and Calculus of Variations
, vol.23
, pp. 1145-1177
-
-
Cirant, M.1
Verzini, G.2
-
120
-
-
84978942659
-
Propagation of chaos for interacting particles subject to environmental noise
-
M. Coghi and F. Flandoli. Propagation of chaos for interacting particles subject to environmental noise. Annals of Applied Probability, 26:1407–1442, 2016.
-
(2016)
Annals of Applied Probability
, vol.26
, pp. 1407-1442
-
-
Coghi, M.1
Flandoli, F.2
-
121
-
-
46549092471
-
Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. i. Uniqueness of viscosity solutions
-
M.G Crandall and P.L. Lions. Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. i. Uniqueness of viscosity solutions. Journal of Functional Analysis, 62:379– 396, 1985.
-
(1985)
Journal of Functional Analysis
, vol.62
, pp. 379-396
-
-
Crandall, M.G.1
Lions, P.L.2
-
122
-
-
46149138623
-
Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. ii. Existence of viscosity solutions
-
M.G Crandall and P.L. Lions. Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. ii. Existence of viscosity solutions. Journal of Functional Analysis, 65:368–405, 1986.
-
(1986)
Journal of Functional Analysis
, vol.65
, pp. 368-405
-
-
Crandall, M.G.1
Lions, P.L.2
-
123
-
-
46149127983
-
Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. iii
-
M.G Crandall and P.L. Lions. Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. iii. Journal of Functional Analysis, 68:214–247, 1986.
-
(1986)
Journal of Functional Analysis
, vol.68
, pp. 214-247
-
-
Crandall, M.G.1
Lions, P.L.2
-
124
-
-
44949288472
-
Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. iv. Hamiltonians with unbounded linear terms
-
M.G Crandall and P.L. Lions. Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. iv. Hamiltonians with unbounded linear terms. Journal of Functional Analysis, 90:3237–283, 1990.
-
(1990)
Journal of Functional Analysis
, vol.90
, Issue.3
, pp. 237-283
-
-
Crandall, M.G.1
Lions, P.L.2
-
129
-
-
0003035519
-
Spectral properties of compact manifolds and changes of metric
-
E.B. Davies. Spectral properties of compact manifolds and changes of metric. American Journal of Mathematics, 112:15–39, 1990.
-
(1990)
American Journal of Mathematics
, vol.112
, pp. 15-39
-
-
Davies, E.B.1
-
132
-
-
0036233502
-
On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case
-
F. Delarue. On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. Stochastic Processes and their Applications, 99:209–286, 2002.
-
(2002)
Stochastic Processes and Their Applications
, vol.99
, pp. 209-286
-
-
Delarue, F.1
-
133
-
-
85130906047
-
-
F. Delarue. Estimates of the solutions of a system of quasi-linear PDEs. a probabilistic scheme. In J. Azéma et al., editors, Séminaire de Probabilités XXXVII, pages 290–332. Springer-Verlag Berlin Heidelberg, 2003.
-
F. Delarue. Estimates of the solutions of a system of quasi-linear PDEs. a probabilistic scheme. In J. Azéma et al., editors, Séminaire de Probabilités XXXVII, pages 290–332. Springer-Verlag Berlin Heidelberg, 2003.
-
-
-
-
135
-
-
84885102039
-
Constructive quantization: Approximation by empirical measures
-
Probabilités Statistiques
-
S. Dereich, M. Scheutzow, and R. Schottstedt. Constructive quantization: approximation by empirical measures. Annales Institut Henri Poincaré, Probabilités Statistiques, 49:1183– 1203, 2013.
-
(2013)
Annales Institut Henri Poincaré
, vol.49
, pp. 1183-1203
-
-
Dereich, S.1
Scheutzow, M.2
Schottstedt, R.3
-
136
-
-
85010390101
-
Bank runs, deposit insurance, and liquidity
-
D.W. Diamond and P.H. Dybvig. Bank runs, deposit insurance, and liquidity. The Journal of Political Economy, (91):401–419, 1983.
-
(1983)
The Journal of Political Economy
, Issue.91
, pp. 401-419
-
-
Diamond, D.W.1
Dybvig, P.H.2
-
141
-
-
85130924336
-
Some advances on quadratic BSDE: Theory-Numerics-Applications
-
G. Dos Reis. Some advances on quadratic BSDE: Theory-Numerics-Applications. LAP LAMBERT Academic Publishing, 2011.
-
(2011)
LAP LAMBERT Academic Publishing
-
-
Dos Reis, G.1
-
142
-
-
84992754421
-
Stochastic regularization effects of semi-martingales on random functions
-
R. Duboscq and A. Réveillac. Stochastic regularization effects of semi-martingales on random functions. Journal de Mathématiques Pures et Appliquées, 106:1141–1173, 2016.
-
(2016)
Journal De Mathématiques Pures Et Appliquées
, vol.106
, pp. 1141-1173
-
-
Duboscq, R.1
Réveillac, A.2
-
145
-
-
70349811336
-
Information percolation with equilibrium search dynamics
-
D. Duffie, S. Malamud, and G. Manso. Information percolation with equilibrium search dynamics. Econometrica, 77:1513–1574, 2009.
-
(2009)
Econometrica
, vol.77
, pp. 1513-1574
-
-
Duffie, D.1
Malamud, S.2
Manso, G.3
-
147
-
-
34547264100
-
Information percolation in large markets
-
Papers and Proceedings
-
D. Duffie and G. Manso. Information percolation in large markets. American Economic Review, Papers and Proceedings, 97:203–209, 2007.
-
(2007)
American Economic Review
, vol.97
, pp. 203-209
-
-
Duffie, D.1
Manso, G.2
-
148
-
-
35448987309
-
Existence of independent random matching
-
D. Duffie and Y. Sun. Existence of independent random matching. Annals of Applied Probability, 17:385–419, 2007.
-
(2007)
Annals of Applied Probability
, vol.17
, pp. 385-419
-
-
Duffie, D.1
Sun, Y.2
-
151
-
-
84887513526
-
The derivation of ergodic mean field game equations for several population of players
-
E. Feleqi. The derivation of ergodic mean field game equations for several population of players. Dynamic Games and Applications, 3:523–536, 2013.
-
(2013)
Dynamic Games and Applications
, vol.3
, pp. 523-536
-
-
Feleqi, E.1
-
152
-
-
62949185876
-
A comparison principle for Hamilton-Jacobi equations related to controlled gradient flows in infinite dimensions
-
J. Feng and M. Katsoulakis. A comparison principle for Hamilton-Jacobi equations related to controlled gradient flows in infinite dimensions. Archive for Rational Mechanics and Analysis, 192:275–310, 2009.
-
(2009)
Archive for Rational Mechanics and Analysis
, vol.192
, pp. 275-310
-
-
Feng, J.1
Katsoulakis, M.2
-
154
-
-
85019652145
-
On the connection between symmetric N-player games and mean field games
-
M. Fischer. On the connection between symmetric N-player games and mean field games. Annals of Applied Probability, 27:757–810, 2017.
-
(2017)
Annals of Applied Probability
, vol.27
, pp. 757-810
-
-
Fischer, M.1
-
155
-
-
84978628183
-
Continuous time mean-variance portfolio optimization through the mean field approach
-
M. Fischer and G. Livieri. Continuous time mean-variance portfolio optimization through the mean field approach. ESAIM: Probability and Statistics, 20:30–44, 2016.
-
(2016)
ESAIM: Probability and Statistics
, vol.20
, pp. 30-44
-
-
Fischer, M.1
Livieri, G.2
-
161
-
-
84939257541
-
On the rate of convergence in the Wasserstein distance of the empirical measure
-
N. Fournier and A. Guillin. On the rate of convergence in the Wasserstein distance of the empirical measure. Probability Theory and Related Fields, 162:707–738, 2015.
-
(2015)
Probability Theory and Related Fields
, vol.162
, pp. 707-738
-
-
Fournier, N.1
Guillin, A.2
-
164
-
-
38249028692
-
Open-loop and closed-loop equilibria in dynamic games with many players
-
D. Fudenberg and D. Levine. Open-loop and closed-loop equilibria in dynamic games with many players. Journal of Economic Theory, 44:1–18, 1988.
-
(1988)
Journal of Economic Theory
, vol.44
, pp. 1-18
-
-
Fudenberg, D.1
Levine, D.2
-
166
-
-
2142752711
-
Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces
-
M. Fuhrman and G. Tessitore. Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces. Annals of Probability, 30:607–660, 2004.
-
(2004)
Annals of Probability
, vol.30
, pp. 607-660
-
-
Fuhrman, M.1
Tessitore, G.2
-
168
-
-
84941797484
-
Existence of a solution to an equation arising from the theory of mean field games
-
W. Gangbo and A. Swiech. Existence of a solution to an equation arising from the theory of mean field games. Journal of Differential Equations, 259:6573–6643, 2015.
-
(2015)
Journal of Differential Equations
, vol.259
, pp. 6573-6643
-
-
Gangbo, W.1
Swiech, A.2
-
170
-
-
84865675087
-
Mean field for Markov decision processes: From discrete to continuous optimization
-
N. Gast, B. Gaujal, and J.-Y. Le Boudec. Mean field for Markov decision processes: from discrete to continuous optimization. IEEE Transactions on Automatic Control, 57:2266– 2280, 2012.
-
(2012)
IEEE Transactions on Automatic Control
, vol.57
, pp. 2266-2280
-
-
Gast, N.1
Gaujal, B.2
Le Boudec, J.-Y.3
-
171
-
-
84862011216
-
Transient linear price impact and Fredholm integral equations
-
J. Gatheral, A. Schied, and A. Slynko. Transient linear price impact and Fredholm integral equations. Mathematical Finance, 22:445–474, 2012.
-
(2012)
Mathematical Finance
, vol.22
, pp. 445-474
-
-
Gatheral, J.1
Schied, A.2
Slynko, A.3
-
174
-
-
77549085949
-
Discrete time, finite state space mean field games
-
D.A. Gomes, J. Mohr, and R.R. Souza. Discrete time, finite state space mean field games. Journal de Mathématiques Pures et Appliquées, 93:308–328, 2010.
-
(2010)
Journal De Mathématiques Pures Et Appliquées
, vol.93
, pp. 308-328
-
-
Gomes, D.A.1
Mohr, J.2
Souza, R.R.3
-
176
-
-
84964901065
-
-
IMPA, Rio, Brazil
-
D.A. Gomes, L. Nurbekyan, and E. Pimentel. Economic Models and Mean-field Games Theory. Publicaões Matemáticas, IMPA, Rio, Brazil, 2015.
-
(2015)
Economic Models and Mean-Field Games Theory. Publicaões Matemáticas
-
-
Gomes, D.A.1
Nurbekyan, L.2
Pimentel, E.3
-
177
-
-
84947474862
-
Time-dependent mean-field games with logarithmic nonlinear-ities
-
D.A. Gomes and E. Pimentel. Time-dependent mean-field games with logarithmic nonlinear-ities. SIAM Journal of Mathematical Analysis, 47:3798–3812, 2015.
-
(2015)
SIAM Journal of Mathematical Analysis
, vol.47
, pp. 3798-3812
-
-
Gomes, D.A.1
Pimentel, E.2
-
180
-
-
84964380514
-
Time-dependent mean-field games in the superquadratic case
-
D.A. Gomes, E. Pimentel, and H. Sánchez-Morgado. Time-dependent mean-field games in the superquadratic case. ESAIM: Control, Optimisation and Calculus of Variations, 22:562– 580, 2016.
-
(2016)
ESAIM: Control, Optimisation and Calculus of Variations
, vol.22
, pp. 562-580
-
-
Gomes, D.A.1
Pimentel, E.2
Sánchez-Morgado, H.3
-
186
-
-
84864332611
-
Mean field games equations with quadratic Hamiltonian: A specific approach
-
O. Guéant. Mean field games equations with quadratic Hamiltonian: A specific approach. Mathematical Models and Methods in Applied Sciences, 22:291–303, 2012.
-
(2012)
Mathematical Models and Methods in Applied Sciences
, vol.22
, pp. 291-303
-
-
Guéant, O.1
-
187
-
-
84865570881
-
New numerical methods for mean field games with quadratic costs
-
O. Guéant. New numerical methods for mean field games with quadratic costs. Networks and Heterogeneous Media, 2:315–336, 2012.
-
(2012)
Networks and Heterogeneous Media
, Issue.2
, pp. 315-336
-
-
Guéant, O.1
-
188
-
-
84941422568
-
Existence and uniqueness result for mean field games with congestion effect on graphs
-
O. Guéant. Existence and uniqueness result for mean field games with congestion effect on graphs. Applied Mathematics & Optimization, 72:291–303, 2015.
-
(2015)
Applied Mathematics & Optimization
, vol.72
, pp. 291-303
-
-
Guéant, O.1
-
189
-
-
85130880299
-
-
O. Guéant, J.M. Lasry, and P.L. Lions. Mean field games and applications. In R. Carmona et al., editors, Paris Princeton Lectures on Mathematical Finance 2010. Volume 2003 of Lecture Notes in Mathematics. Springer-Verlag Berlin Heidelberg, 2010.
-
O. Guéant, J.M. Lasry, and P.L. Lions. Mean field games and applications. In R. Carmona et al., editors, Paris Princeton Lectures on Mathematical Finance 2010. Volume 2003 of Lecture Notes in Mathematics. Springer-Verlag Berlin Heidelberg, 2010.
-
-
-
-
191
-
-
0000335830
-
Mimicking the one-dimensional marginal distributions of processes having an Itô differential
-
I. Gyöngy. Mimicking the one-dimensional marginal distributions of processes having an Itô differential. Probability Theory and Related Fields, 71:501–516, 1986.
-
(1986)
Probability Theory and Related Fields
, vol.71
, pp. 501-516
-
-
Gyöngy, I.1
-
192
-
-
84878847303
-
Maximum principles for jump diffusion processes with infinite horizon
-
S. Haadem, B. Øksendal, and F. Proske. Maximum principles for jump diffusion processes with infinite horizon. Automatica, 49:2267–2275, 2013.
-
(2013)
Automatica
, vol.49
, pp. 2267-2275
-
-
Haadem, S.1
Øksendal, B.2
Proske, F.3
-
193
-
-
0002441602
-
Backward-forward SDE’s and stochastic differential games
-
S. Hamadène. Backward-forward SDE’s and stochastic differential games. Stochastic Processes and their Applications, 77:1–15, 1998.
-
(1998)
Stochastic Processes and Their Applications
, vol.77
, pp. 1-15
-
-
Hamadène, S.1
-
194
-
-
0033482670
-
Nonzero-sum linear quadratic stochastic differential games and backward forward equations
-
S. Hamadène. Nonzero-sum linear quadratic stochastic differential games and backward forward equations. Stochastic Analysis and Applications, 17:117–130, 1999.
-
(1999)
Stochastic Analysis and Applications
, vol.17
, pp. 117-130
-
-
Hamadène, S.1
-
195
-
-
0039662153
-
Backward equations, stochastic control and zero-sum stochastic differential games
-
S. Hamadène and J.P. Lepeltier. Backward equations, stochastic control and zero-sum stochastic differential games. Stochastics and Stochastic Reports, 54:221–231, 1995.
-
(1995)
Stochastics and Stochastic Reports
, vol.54
, pp. 221-231
-
-
Hamadène, S.1
Lepeltier, J.P.2
-
199
-
-
0344238501
-
Ergodic fluctuations in a stock market model with interacting agents: The mean field case. Discussion paper No. 106
-
Humboldt Universität, Berlin
-
U. Horst. Ergodic fluctuations in a stock market model with interacting agents: the mean field case. Discussion paper No. 106, Sonderforschungbereich 373, Humboldt Universität, Berlin, 1999.
-
(1999)
Sonderforschungbereich
, vol.373
-
-
Horst, U.1
-
200
-
-
14644391561
-
Stationary equilibria in discounted stochastic games with weakly interacting players
-
U. Horst. Stationary equilibria in discounted stochastic games with weakly interacting players. Games and Economic Behavior, 51:83–108, 2005.
-
(2005)
Games and Economic Behavior
, vol.51
, pp. 83-108
-
-
Horst, U.1
-
201
-
-
84872680818
-
A stochastic maximum principle for a stochastic differential game of a mean-field type
-
J.A. Hosking. A stochastic maximum principle for a stochastic differential game of a mean-field type. Applied Mathematics & Optimization, 66:415–454, 2012.
-
(2012)
Applied Mathematics & Optimization
, vol.66
, pp. 415-454
-
-
Hosking, J.A.1
-
202
-
-
85130914793
-
-
Y. Hu. Stochastic maximum principle. In John Baillieul, Tariq Samad, editors, Encyclopedia of Systems and Control, pages 1347–1350. Springer-Verlag London, 2015.
-
Y. Hu. Stochastic maximum principle. In John Baillieul, Tariq Samad, editors, Encyclopedia of Systems and Control, pages 1347–1350. Springer-Verlag London, 2015.
-
-
-
-
203
-
-
0000964507
-
Maximum principle for semilinear stochastic evolution control systems
-
Y. Hu and S. Peng. Maximum principle for semilinear stochastic evolution control systems. Stochastics and Stochastic Reports, 33:159–180, 1990.
-
(1990)
Stochastics and Stochastic Reports
, vol.33
, pp. 159-180
-
-
Hu, Y.1
Peng, S.2
-
204
-
-
84958176380
-
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
-
Y. Hu and S. Tang. Multi-dimensional backward stochastic differential equations of diagonally quadratic generators. Stochastic Processes and their Applications, 126:1066– 1086, 2016.
-
(2016)
Stochastic Processes and Their Applications
, vol.126
, pp. 1066-1086
-
-
Hu, Y.1
Tang, S.2
-
206
-
-
2542418628
-
Continuous time stopping games with monotone reward structures
-
C-F. Huang and L. Li. Continuous time stopping games with monotone reward structures. Mathematics of Operations Research, 15:496–507.
-
Mathematics of Operations Research
, vol.15
, pp. 496-507
-
-
Huang, C.-F.1
Li, L.2
-
207
-
-
79952140932
-
Large-population LQG games involving a major player: The Nash equivalence principle
-
M. Huang. Large-population LQG games involving a major player: the Nash equivalence principle. SIAM Journal on Control and Optimization, 48:3318–3353, 2010.
-
(2010)
SIAM Journal on Control and Optimization
, vol.48
, pp. 3318-3353
-
-
Huang, M.1
-
208
-
-
84887523905
-
A mean field accumulation game with HARA utility
-
M. Huang. A mean field accumulation game with HARA utility. Dynamics Games and Applications, 3:446–472, 2013.
-
(2013)
Dynamics Games and Applications
, vol.3
, pp. 446-472
-
-
Huang, M.1
-
210
-
-
1542359162
-
Individual and mass behavior in large population stochastic wireless power control problems: Centralized and Nash equilibrium solutions
-
, pages
-
M. Huang, P.E. Caines, and R.P. Malhamé. Individual and mass behavior in large population stochastic wireless power control problems: centralized and Nash equilibrium solutions. In Proceedings of the 42nd IEEE International Conference on Decision and Control, pages 98– 103. 2003.
-
(2003)
Proceedings of the 42Nd IEEE International Conference on Decision and Control
, pp. 98-103
-
-
Huang, M.1
Caines, P.E.2
Malhamé, R.P.3
-
211
-
-
39549087376
-
Large population stochastic dynamic games: Closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
-
M. Huang, P.E. Caines, and R.P. Malhamé. Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle. Communications in Information and Systems, 6:221–252, 2006.
-
(2006)
Communications in Information and Systems
, vol.6
, pp. 221-252
-
-
Huang, M.1
Caines, P.E.2
Malhamé, R.P.3
-
212
-
-
34648831837
-
Large population cost coupled LQG problems with nonuniform agents: Individual mass behavior and decentralized -Nash equilibria
-
M. Huang, P.E. Caines, and R.P. Malhamé. Large population cost coupled LQG problems with nonuniform agents: individual mass behavior and decentralized -Nash equilibria. IEEE Transactions on Automatic Control, 52:1560–1571, 2007.
-
(2007)
IEEE Transactions on Automatic Control
, vol.52
, pp. 1560-1571
-
-
Huang, M.1
Caines, P.E.2
Malhamé, R.P.3
-
213
-
-
84885764330
-
Nash equilibria for large population linear stochastic systems with weakly coupled agents
-
M. Huang, R.P. Malhamé, and P.E. Caines. Nash equilibria for large population linear stochastic systems with weakly coupled agents. In R.P. Malhamé, E.K. Boukas, editors, Analysis, Control and Optimization of Complex Dynamic Systems, pages 215–252. Springer-US, 2005.
-
(2005)
R.P. Malhamé, E.K. Boukas, Editors, Analysis, Control and Optimization of Complex Dynamic Systems, Pages 215–252. Springer-Us
-
-
Huang, M.1
Malhamé, R.P.2
Caines, P.E.3
-
214
-
-
0000531113
-
Multivariate point processes: Predictable projections, Radon-Nykodym derivatives, representation of martingales
-
J. Jacod. Multivariate point processes: predictable projections, Radon-Nykodym derivatives, representation of martingales. Zeitschrift für Wahrscheinlichkeitstheorie und verwandte. Gebiete, 31:235–253, 1975.
-
(1975)
Zeitschrift für Wahrscheinlichkeitstheorie Und Verwandte. Gebiete
, vol.31
, pp. 235-253
-
-
Jacod, J.1
-
215
-
-
0005331684
-
Weak and strong solutions of stochastic differential equations
-
J. Jacod. Weak and strong solutions of stochastic differential equations. Stochastics, 3:171– 191, 1980.
-
(1980)
Stochastics
, vol.3
, pp. 171-191
-
-
Jacod, J.1
-
217
-
-
84862976475
-
Social optima in mean field LQG control: Centralized and decentralized strategies
-
M. Huang, P.E. Caines, and R.P. Malhamé. Social optima in mean field LQG control: centralized and decentralized strategies. IEEE Transactions on Automatic Control, 57(7):1736–1751, 2012.
-
(2012)
IEEE Transactions on Automatic Control
, vol.57
, Issue.7
, pp. 1736-1751
-
-
Huang, M.1
Caines, P.E.2
Malhamé, R.P.3
-
219
-
-
84867281441
-
Immersion property and credit risk modelling
-
F. Delbaen, M. Rásonyi, C. Stricker, editors, pages , Springer-Verlag Berlin Heidelberg
-
M. Jeanblanc and Y. Le Cam. Immersion property and credit risk modelling. In F. Delbaen, M. Rásonyi, C. Stricker, editors, Optimality and Risk-Modern Trends in Mathematical Finance, pages 99–132. Springer-Verlag Berlin Heidelberg, 2010.
-
(2010)
Optimality and Risk-Modern Trends in Mathematical Finance
, pp. 99-132
-
-
Jeanblanc, M.1
Le Cam, Y.2
-
221
-
-
73949131833
-
Nonlinear SDEs driven by Lévy processes and related PDEs
-
ALEA
-
B. Jourdain, S. Meleard, and W. Woyczynski. Nonlinear SDEs driven by Lévy processes and related PDEs. ALEA, Latin American Journal of Probability, 4:1–29, 2008.
-
(2008)
Latin American Journal of Probability
, vol.4
, pp. 1-29
-
-
Jourdain, B.1
Meleard, S.2
Woyczynski, W.3
-
222
-
-
24144460915
-
Pricing derivatives of american and game type in incomplete markets
-
J. Kallsen and C. Kühn. Pricing derivatives of american and game type in incomplete markets. Finance and Stochastics, 8:261–284, 2004.
-
(2004)
Finance and Stochastics
, vol.8
, pp. 261-284
-
-
Kallsen, J.1
Kühn, C.2
-
223
-
-
34248141921
-
Financial derivatives of game type
-
A. Kyprianou, W. Schoutens, P. Wilmott, editors, pages , John Wiley & Sons, Inc
-
J. Kallsen and C. Kühn. Convertible bonds: Financial derivatives of game type. In A. Kyprianou, W. Schoutens, P. Wilmott, editors, Exotic Option Pricing and Advanced Lévy Models, pages 277–288. John Wiley & Sons, Inc., 2005.
-
(2005)
Exotic Option Pricing and Advanced Lévy Models
, pp. 277-288
-
-
Kallsen, J.1
Bonds, C.C.2
-
224
-
-
11244347356
-
A general result of existence and uniqueness of backward stochastic differential equations
-
N. El Karoui, L. Mazliak, editors, pages , Pitman, Longman, Harlow
-
N. El Karoui and S.J. Huang. A general result of existence and uniqueness of backward stochastic differential equations. In N. El Karoui, L. Mazliak, editors, Backward stochastic differential equations, Research Notes in Mathematics, pages 27–36. Pitman, Longman, Harlow, 1997.
-
(1997)
Backward Stochastic Differential Equations, Research Notes in Mathematics
, pp. 27-36
-
-
El Karoui, N.1
Huang, S.J.2
-
225
-
-
0001274938
-
Compactification methods in the control of degenerate diffusions: Existence of an optimal control
-
N. El Karoui, D.H. Nguyen, and M. Jeanblanc-Picqué. Compactification methods in the control of degenerate diffusions: existence of an optimal control. Stochastics, 20:169–219, 1987.
-
(1987)
Stochastics
, vol.20
, pp. 169-219
-
-
El Karoui, N.1
Nguyen, D.H.2
Jeanblanc-Picqué, M.3
-
226
-
-
0031542653
-
Backward stochastic differential equations in finance
-
N. El Karoui, S. Peng, and M.C. Quenez. Backward stochastic differential equations in finance. Mathematical Finance, 7:1–71, 1997.
-
(1997)
Mathematical Finance
, vol.7
, pp. 1-71
-
-
El Karoui, N.1
Peng, S.2
Quenez, M.C.3
-
227
-
-
85130944315
-
-
N. Kazamaki. Continuous Exponential Martingales and BMO. Volume 1579 of Lecture Notes in Mathematics. Springer-Verlag Berlin Heidelberg, 1994.
-
N. Kazamaki. Continuous Exponential Martingales and BMO. Volume 1579 of Lecture Notes in Mathematics. Springer-Verlag Berlin Heidelberg, 1994.
-
-
-
-
232
-
-
0034345576
-
Backward stochastic differential equations and partial differential equations with quadratic growth
-
M. Kobylanski. Backward stochastic differential equations and partial differential equations with quadratic growth. Annals of Probability, 28:558–602, 2000.
-
(2000)
Annals of Probability
, vol.28
, pp. 558-602
-
-
Kobylanski, M.1
-
233
-
-
33847250495
-
Nonlinear Markov semigroups and interacting Lévy processes
-
V.N. Kolokolstov. Nonlinear Markov semigroups and interacting Lévy processes. Journal of Statistical Physics, 126:585–642, 2007.
-
(2007)
Journal of Statistical Physics
, vol.126
, pp. 585-642
-
-
Kolokolstov, V.N.1
-
238
-
-
84899416204
-
On the rate of convergence for the mean field approximation of controlled diffusions with large number of players
-
V.N. Kolokolstov, M. Troeva, and W. Yang. On the rate of convergence for the mean field approximation of controlled diffusions with large number of players. Dynamic Games and Applications, 4:208–230, 2013.
-
(2013)
Dynamic Games and Applications
, vol.4
, pp. 208-230
-
-
Kolokolstov, V.N.1
Troeva, M.2
Yang, W.3
-
239
-
-
84865799186
-
Nonlinear Markov games on a finite state space (mean-field and binary interactions)
-
V.N. Kolokoltsov. Nonlinear Markov games on a finite state space (mean-field and binary interactions). International Journal of Statistics and Probability, 1:77–91, 2012.
-
(2012)
International Journal of Statistics and Probability
, vol.1
, pp. 77-91
-
-
N. Kolokoltsov, V.1
-
240
-
-
84960274568
-
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
-
T. Kruse and A. Popier. BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration. Stochastics, 88:491–539, 2016.
-
(2016)
Stochastics
, vol.88
, pp. 491-539
-
-
Kruse, T.1
Popier, A.2
-
241
-
-
0032451887
-
Income and wealth heterogeneity in the macroeconomy
-
P. Krusell and Jr. A. Smith. Income and wealth heterogeneity in the macroeconomy. Journal of Political Economy, 106:867–896, 1998.
-
(1998)
Journal of Political Economy
, vol.106
, pp. 867-896
-
-
Krusell, P.1
Smith, A.2
-
245
-
-
0001168654
-
Random time changes and convergence in distribution under the Meyer-Zheng conditions
-
T.G. Kurtz. Random time changes and convergence in distribution under the Meyer-Zheng conditions. Annals of Applied Probability, 19:1010–1034, 1991.
-
(1991)
Annals of Applied Probability
, vol.19
, pp. 1010-1034
-
-
Kurtz, T.G.1
-
246
-
-
34547668507
-
The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
-
T.G. Kurtz. The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities. Electronic Journal of Probability, 12:951–965, 2007.
-
(2007)
Electronic Journal of Probability
, vol.12
, pp. 951-965
-
-
Kurtz, T.G.1
-
247
-
-
84907316832
-
Weak and strong solutions of general stochastic models
-
T.G. Kurtz. Weak and strong solutions of general stochastic models. Electronic Journal of Probability, 19:1–16, 2014.
-
(2014)
Electronic Journal of Probability
, vol.19
, pp. 1-16
-
-
Kurtz, T.G.1
-
248
-
-
0000367265
-
Weak limit theorems for stochastic integrals and stochastic differential equations
-
T.G. Kurtz and P. Protter. Weak limit theorems for stochastic integrals and stochastic differential equations. Annals of Probability, 19:1035–1070, 1991.
-
(1991)
Annals of Probability
, vol.19
, pp. 1035-1070
-
-
Kurtz, T.G.1
Protter, P.2
-
250
-
-
79955481954
-
A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems
-
T.G. Kurtz and J. Xiong. A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems. Communications in Mathematical Sciences, 2(3):325– 358, 2004.
-
(2004)
Communications in Mathematical Sciences
, vol.2
, Issue.3
, pp. 325-358
-
-
Kurtz, T.G.1
Xiong, J.2
-
251
-
-
84946112935
-
Efficiency of the price formation process in the presence of high frequency participants: A mean field games analysis
-
A. Lachapelle, J.M. Lasry, C.A. Lehalle, and P.L. Lions. Efficiency of the price formation process in the presence of high frequency participants: a mean field games analysis. Mathematics and Financial Economics, 10:223–262, 2016.
-
(2016)
Mathematics and Financial Economics
, vol.10
, pp. 223-262
-
-
Lachapelle, A.1
Lasry, J.M.2
Lehalle, C.A.3
Lions, P.L.4
-
253
-
-
80455173864
-
On a mean field game approach modeling congestion and aversion in pedestrian crowds
-
A. Lachapelle and M.T. Wolfram. On a mean field game approach modeling congestion and aversion in pedestrian crowds. Transportation Research Part B: Methodological, 45:1572– 1589, 2011.
-
(2011)
Transportation Research Part B: Methodological
, vol.45
, pp. 1572-1589
-
-
Lachapelle, A.1
Wolfram, M.T.2
-
254
-
-
84933553528
-
Mean field games via controlled martingale problems: Existence of markovian equilibria
-
D. Lacker. Mean field games via controlled martingale problems: Existence of markovian equilibria. Stochastic Processes and their Applications, 125:2856–2894, 2015.
-
(2015)
Stochastic Processes and Their Applications
, vol.125
, pp. 2856-2894
-
-
Lacker, D.1
-
255
-
-
84936864615
-
A general characterization of the mean field limit for stochastic differential games
-
D. Lacker. A general characterization of the mean field limit for stochastic differential games. Probability Theory and Related Fields, 165:581–648, 2016.
-
(2016)
Probability Theory and Related Fields
, vol.165
, pp. 581-648
-
-
Lacker, D.1
-
265
-
-
85130939670
-
-
P.L. Lions. Théorie des jeux à champs moyen et applications. Lectures at the Collège de France. http://www.college-de-france.fr/default/EN/all/equ_der/cours_et_seminaires.htm, 2007–2008.
-
P.L. Lions. Théorie des jeux à champs moyen et applications. Lectures at the Collège de France. http://www.college-de-france.fr/default/EN/all/equ_der/cours_et_seminaires.htm, 2007–2008.
-
-
-
-
266
-
-
85063330530
-
Estimées nouvelles pour les équations quasilinéaires
-
P.L. Lions. Estimées nouvelles pour les équations quasilinéaires. Seminar in Applied Mathematics at the Collège de France. http://www.college-de-france.fr/site/pierre-louis-lions/seminar-2014-11-14-11h15.htm, 2014.
-
(2014)
Seminar in Applied Mathematics at the Collège De France
-
-
Lions, P.L.1
-
269
-
-
51249182515
-
On optimal matchings
-
J. Komlós M. Ajtai and G. Tusnàdy. On optimal matchings. Combinatorica, 4:259–264, 1983.
-
(1983)
Combinatorica
, vol.4
, pp. 259-264
-
-
Ajtai, J.M.1
Tusnàdy, G.2
-
271
-
-
0344891803
-
Solving forward-backward stochastic differential equations explicitly – a four step scheme
-
J. Ma, P. Protter, and J. Yong. Solving forward-backward stochastic differential equations explicitly – a four step scheme. Probability Theory and Related Fields, 98:339–359, 1994.
-
(1994)
Probability Theory and Related Fields
, vol.98
, pp. 339-359
-
-
Ma, J.1
Protter, P.2
Yong, J.3
-
272
-
-
84922379846
-
On well-posedness of forward-backward SDEs-a unified approach
-
J. Ma, Z. Wu, D. Zhang, and J. Zhang. On well-posedness of forward-backward SDEs-a unified approach. Annals of Applied Probability, 25:2168–2214, 2015.
-
(2015)
Annals of Applied Probability
, vol.25
, pp. 2168-2214
-
-
Ma, J.1
Wu, Z.2
Zhang, D.3
Zhang, J.4
-
273
-
-
84866178050
-
On non-Markovian forward backward SDEs and backward stochastic PDEs
-
J. Ma, H. Yin, and J. Zhang. On non-Markovian forward backward SDEs and backward stochastic PDEs. Stochastic Processes and their Applications, 122:3980–4004, 2012.
-
(2012)
Stochastic Processes and Their Applications
, vol.122
, pp. 3980-4004
-
-
Ma, J.1
Yin, H.2
Zhang, J.3
-
274
-
-
85130896643
-
Forward-Backward Stochastic Differential Equations and their Applications. Volume 1702 of Lecture Notes in Mathematics
-
J. Ma and J. Yong. Forward-Backward Stochastic Differential Equations and their Applications. Volume 1702 of Lecture Notes in Mathematics. Springer-Verlag Berlin Heidelberg, 2007.
-
(2007)
Springer-Verlag Berlin Heidelberg
-
-
Ma, J.1
Yong, J.2
-
275
-
-
0036003097
-
Path regularity for solutions of backward stochastic differential equations
-
J. Ma and J. Zhang. Path regularity for solutions of backward stochastic differential equations. Probability Theory and Related Fields, 122:163–190, 2002.
-
(2002)
Probability Theory and Related Fields
, vol.122
, pp. 163-190
-
-
Ma, J.1
Zhang, J.2
-
276
-
-
84939415091
-
Sufficient stochastic maximum principle for discounted control problem
-
B. Maslowski and P. Veverka. Sufficient stochastic maximum principle for discounted control problem. Applied Mathematics & Optimization, 70:225–252, 2014.
-
(2014)
Applied Mathematics & Optimization
, vol.70
, pp. 225-252
-
-
Maslowski, B.1
Veverka, P.2
-
277
-
-
0010914615
-
A class of Markov processes associated with nonlinear parabolic equations
-
H.P. McKean. A class of Markov processes associated with nonlinear parabolic equations. Proceedings of the National Academy of Science, 56:1907–1911, 1966.
-
(1966)
Proceedings of the National Academy of Science
, vol.56
, pp. 1907-1911
-
-
McKean, H.P.1
-
278
-
-
0003002903
-
Propagation of chaos for a class of nonlinear parabolic equations
-
H.P. McKean. Propagation of chaos for a class of nonlinear parabolic equations. Lecture Series in Differential Equations, 7:41–57, 1967.
-
(1967)
Lecture Series in Differential Equations
, vol.7
, pp. 41-57
-
-
McKean, H.P.1
-
279
-
-
0003311631
-
Asymptotic behaviour of some interacting particle systems; McKean-Vlasov and Boltzmann models
-
S. Méléard. Asymptotic behaviour of some interacting particle systems; McKean-Vlasov and Boltzmann models. In D. Talay, L. Denis, L. Tubaro, editors, Probabilistic Models for Nonlinear Partial Differential Equations. Volume 1627 of Lecture Notes in Mathematics, pages 42–95. Springer-Verlag Berlin Heidelberg, 1996.
-
(1996)
D. Talay, L. Denis, L. Tubaro, Editors, Probabilistic Models for Nonlinear Partial Differential Equations. Volume 1627 of Lecture Notes in Mathematics, Pages 42–95. Springer-Verlag Berlin Heidelberg
-
-
Méléard, S.1
-
280
-
-
85130960878
-
-
P.-A. Meyer and Zheng. Tightness criteria for laws of semimartingales. Annales de l’Institut Henri Poincaré, Probabilités et Statistiques, 20:353–372, 1984.
-
P.-A. Meyer and Zheng. Tightness criteria for laws of semimartingales. Annales de l’Institut Henri Poincaré, Probabilités et Statistiques, 20:353–372, 1984.
-
-
-
-
281
-
-
84868330033
-
A mean field stochastic maximum principle via Malliavin calculus
-
T. Meyer-Brandis, B. Oksendal, and X.Y. Zhou. A mean field stochastic maximum principle via Malliavin calculus. Stochastics, 84:643–666, 2012.
-
(2012)
Stochastics
, vol.84
, pp. 643-666
-
-
Meyer-Brandis, T.1
Oksendal, B.2
Zhou, X.Y.3
-
282
-
-
85130956954
-
-
T. Mikami. Markov marginal problems and their applications to Markov optimal control. In W.M. McEneaney, G.G. Yin, Q., Zhang, editors, Stochastic Analysis, Control, Optimization and Applications, A Volume in Honor of W.H. Fleming, pages 457–476. Boston, Birkhäuser, 1999.
-
T. Mikami. Markov marginal problems and their applications to Markov optimal control. In W.M. McEneaney, G.G. Yin, Q., Zhang, editors, Stochastic Analysis, Control, Optimization and Applications, A Volume in Honor of W.H. Fleming, pages 457–476. Boston, Birkhäuser, 1999.
-
-
-
-
283
-
-
2942554817
-
Monge’s problem with a quadratic cost by the zero-noise limit of h-path processes
-
T. Mikami. Monge’s problem with a quadratic cost by the zero-noise limit of h-path processes. Probability Theory and Related Fields, 29:245–260, 2004.
-
(2004)
Probability Theory and Related Fields
, vol.29
, pp. 245-260
-
-
Mikami, T.1
-
284
-
-
0000175219
-
Rationalizability, learning, and equilibrium in games with strategic complementarities
-
P. Milgrom and J. Roberts. Rationalizability, learning, and equilibrium in games with strategic complementarities. Econometrica, 58:1255–1277, 1990.
-
(1990)
Econometrica
, vol.58
, pp. 1255-1277
-
-
Milgrom, P.1
Roberts, J.2
-
285
-
-
85130903554
-
-
M. Nourian, P.E. Caines, and R.P. Malhamé. Mean field analysis of controlled Cucker-Smale type flocking: Linear analysis and perturbation equations. In S. Bittanti, editor, Proceedings of the 18th IFAC World Congress, Milan, August 2011, pages 4471–4476. Curran Associates, Inc., 2011.
-
M. Nourian, P.E. Caines, and R.P. Malhamé. Mean field analysis of controlled Cucker-Smale type flocking: Linear analysis and perturbation equations. In S. Bittanti, editor, Proceedings of the 18th IFAC World Congress, Milan, August 2011, pages 4471–4476. Curran Associates, Inc., 2011.
-
-
-
-
286
-
-
0000749777
-
Unique equilibrium in a model of self-fulfilling currency attacks
-
S. Morris and H.S. Shin. Unique equilibrium in a model of self-fulfilling currency attacks. American Economic Review, 88:587–597, 1998.
-
(1998)
American Economic Review
, vol.88
, pp. 587-597
-
-
Morris, S.1
Shin, H.S.2
-
287
-
-
0041132744
-
An estimate for the probability of a diffusion process hitting a set of positive measure
-
M. Safonov N. Krylov. An estimate for the probability of a diffusion process hitting a set of positive measure. Doklady Akademii nauk SSSR, 245:18–20, 1979.
-
(1979)
Doklady Akademii Nauk SSSR
, vol.245
, pp. 18-20
-
-
Safonov, M.1
Krylov, N.2
-
289
-
-
0001730497
-
Non-cooperative games
-
J. Nash. Non-cooperative games. Annals of Mathematics, 54:286–295, 1951.
-
(1951)
Annals of Mathematics
, vol.54
, pp. 286-295
-
-
Nash, J.1
-
290
-
-
70350000208
-
Stochastic games for security in networks with interdependent nodes
-
pages
-
K. Nguyen, T. Alpcan, and T. Basar. Stochastic games for security in networks with interdependent nodes. In Proceedings of the 2009 International Conference on Game Theory for Networks, 13–15 May, 2009, Istanbul pages 697–703, 2009.
-
(2009)
Proceedings of the 2009 International Conference on Game Theory for Networks, 13–15 May, 2009, Istanbul
, pp. 697-703
-
-
Nguyen, K.1
Alpcan, T.2
Basar, T.3
-
291
-
-
84868369828
-
Linear-quadratic-Gaussian mixed games with continuum-parametrized minor players
-
S. Nguyen and M. Huang. Linear-quadratic-Gaussian mixed games with continuum-parametrized minor players. SIAM Journal on Control and Optimization, 50:2907–2937, 2012.
-
(2012)
SIAM Journal on Control and Optimization
, vol.50
, pp. 2907-2937
-
-
Nguyen, S.1
Huang, M.2
-
293
-
-
84888865707
-
-Nash mean field game theory for nonlinear stochastic dynamical systems with major and minor agents
-
M. Nourian and P. Caines. -Nash mean field game theory for nonlinear stochastic dynamical systems with major and minor agents. SIAM Journal on Control and Optimization, 51:3302– 3331, 2013.
-
(2013)
SIAM Journal on Control and Optimization
, vol.51
, pp. 3302-3331
-
-
Nourian, M.1
Caines, P.2
-
295
-
-
0001560970
-
The geometry of dissipative evolution equations: The porous medium equation
-
F. Otto. The geometry of dissipative evolution equations: the porous medium equation. Communications in Partial Differential Equations, 26:101–174, 2001.
-
(2001)
Communications in Partial Differential Equations
, vol.26
, pp. 101-174
-
-
Otto, F.1
-
296
-
-
0001573698
-
Homogenization of linear and semilinear second order parabolic PDEs with periodic coefficients: A probabilistic approach
-
E. Pardoux. Homogenization of linear and semilinear second order parabolic PDEs with periodic coefficients: A probabilistic approach. Journal of Functional Analysis, 167:469– 520, 1999.
-
(1999)
Journal of Functional Analysis
, vol.167
, pp. 469-520
-
-
Pardoux, E.1
-
297
-
-
0025262967
-
Adapted solution of a backward stochastic differential equation
-
E. Pardoux and S. Peng. Adapted solution of a backward stochastic differential equation. Systems & Control Letters, 14:55–61, 1990.
-
(1990)
Systems & Control Letters
, vol.14
, pp. 55-61
-
-
Pardoux, E.1
Peng, S.2
-
299
-
-
84923248872
-
-
Backward SDEs, Partial Differential Equations. Stochastic Modelling and Applied Probability. Springer International Publishing
-
E. Pardoux and A. Rǎşcanu. Stochastic Differential Equations, Backward SDEs, Partial Differential Equations. Stochastic Modelling and Applied Probability. Springer International Publishing, 2014.
-
(2014)
Stochastic Differential Equations
-
-
Pardoux, E.1
Rǎşcanu, A.2
-
300
-
-
0033463544
-
Forward-backward stochastic differential equations and quasilinear parabolic PDEs
-
E. Pardoux and S. Tang. Forward-backward stochastic differential equations and quasilinear parabolic PDEs. Probability Theory and Related Fields, 114:123–150, 1999.
-
(1999)
Probability Theory and Related Fields
, vol.114
, pp. 123-150
-
-
Pardoux, E.1
Tang, S.2
-
302
-
-
0025462369
-
A general stochastic maximum principle for optimal control problems
-
S. Peng. A general stochastic maximum principle for optimal control problems. SIAM Journal on Control and Optimization, 2:966–979, 1990.
-
(1990)
SIAM Journal on Control and Optimization
, vol.2
, pp. 966-979
-
-
Peng, S.1
-
303
-
-
0002686129
-
Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
-
S. Peng. Probabilistic interpretation for systems of quasilinear parabolic partial differential equations. Stochastics and Stochastics Reports, 37:61–74, 1991.
-
(1991)
Stochastics and Stochastics Reports
, vol.37
, pp. 61-74
-
-
Peng, S.1
-
304
-
-
0001098095
-
A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equation
-
S. Peng. A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equation. Stochastics and Stochastics Reports, 38:119–134, 1992.
-
(1992)
Stochastics and Stochastics Reports
, vol.38
, pp. 119-134
-
-
Peng, S.1
-
305
-
-
0026834859
-
Stochastic Hamilton Jacobi Bellman equations
-
S. Peng. Stochastic Hamilton Jacobi Bellman equations. SIAM Journal on Control and Optimization, 30:284–304, 1992.
-
(1992)
SIAM Journal on Control and Optimization
, vol.30
, pp. 284-304
-
-
Peng, S.1
-
306
-
-
0009447259
-
Infinite horizon forward-backward stochastic differential equations
-
S. Peng and Y. Shi. Infinite horizon forward-backward stochastic differential equations. Stochastic Processes and their Applications, 85:75–92, 2000.
-
(2000)
Stochastic Processes and Their Applications
, vol.85
, pp. 75-92
-
-
Peng, S.1
Shi, Y.2
-
307
-
-
0032634560
-
Fully coupled forward-backward stochastic differential equations and applications to optimal control
-
S. Peng and Z. Wu. Fully coupled forward-backward stochastic differential equations and applications to optimal control. SIAM Journal on Control and Optimization, 37:825–843, 1999.
-
(1999)
SIAM Journal on Control and Optimization
, vol.37
, pp. 825-843
-
-
Peng, S.1
Wu, Z.2
-
309
-
-
33845734948
-
On some recent aspects of stochastic control and their applications
-
H. Pham. On some recent aspects of stochastic control and their applications. Probability Surveys, 2:506–549, 2005.
-
(2005)
Probability Surveys
, vol.2
, pp. 506-549
-
-
Pham, H.1
-
311
-
-
85130894385
-
-
H. Pham and X. Wei. Bellman equation and viscosity solutions for mean field stochastic control problem. ESAIM: Control, Optimisation and Calculus of Variations, to appear.
-
H. Pham and X. Wei. Bellman equation and viscosity solutions for mean field stochastic control problem. ESAIM: Control, Optimisation and Calculus of Variations, to appear.
-
-
-
-
312
-
-
85019004246
-
Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics
-
H. Pham and X. Wei. Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics. SIAM Journal on Control and Optimization, 55:1069–1101, 2017.
-
(2017)
SIAM Journal on Control and Optimization
, vol.55
, pp. 1069-1101
-
-
Pham, H.1
Wei, X.2
-
314
-
-
84938564074
-
Linear-quadratic N-person and mean-field games: Infinite horizon games with discounted cost and singular limits
-
F. Priuli. Linear-quadratic N-person and mean-field games: Infinite horizon games with discounted cost and singular limits. Dynamic Games and Applications, 5:397–419, 2015.
-
(2015)
Dynamic Games and Applications
, vol.5
, pp. 397-419
-
-
Priuli, F.1
-
316
-
-
0031482904
-
Diffusion semigroups and diffusion processes corresponding to degenerate divergence form operators
-
J. Quastel and S.R.S. Varadhan. Diffusion semigroups and diffusion processes corresponding to degenerate divergence form operators. Communications on Pure and Applied Mathematics, 50:667–706, 1997.
-
(1997)
Communications on Pure and Applied Mathematics
, vol.50
, pp. 667-706
-
-
Quastel, J.1
Varadhan, S.R.S.2
-
321
-
-
33846816795
-
BSDEs with a random terminal time driven by a monotone generator and their links with PDEs
-
M. Royer. BSDEs with a random terminal time driven by a monotone generator and their links with PDEs. Stochastics and Stochastic Reports, 76:281–307, 2004.
-
(2004)
Stochastics and Stochastic Reports
, vol.76
, pp. 281-307
-
-
Royer, M.1
-
323
-
-
0000118621
-
Der fixpunktsatz in funktionalräumen
-
J. Schauder. Der fixpunktsatz in funktionalräumen. Studia Mathematica, 2:171–180, 1930.
-
(1930)
Studia Mathematica
, vol.2
, pp. 171-180
-
-
Schauder, J.1
-
324
-
-
30444461201
-
The exact law of large numbers via Fubini extension and characterization of insurable risks
-
Y. Sun. The exact law of large numbers via Fubini extension and characterization of insurable risks. Journal of Economic Theory, 126:31–69, 2006.
-
(2006)
Journal of Economic Theory
, vol.126
, pp. 31-69
-
-
Sun, Y.1
-
325
-
-
0001105004
-
Topics in propagation of chaos
-
A.S. Sznitman. Topics in propagation of chaos. In P-L Hennequin, editor, Ecole de Probabilités de Saint Flour, XIX-1989. Volume 1464 of Lecture Notes in Mathematics, pages 165–251. Springer-Verlag Berlin Heidelberg, 1989.
-
(1989)
P-L Hennequin, Editor, Ecole De Probabilités De Saint Flour, XIX-1989. Volume 1464 of Lecture Notes in Mathematics, Pages 165–251. Springer-Verlag Berlin Heidelberg
-
-
Sznitman, A.S.1
-
326
-
-
85130920213
-
-
M. Jeanblanc T. Bielecki and M. Rutkowski. Hedging of defaultable claims. In R. Carmona et al., editors, Paris Princeton Lectures on Mathematical Finance 2003. Volume 1847 of Lecture Notes in Mathematics, pages 1–132. Springer-Verlag Berlin Heidelberg, 2004.
-
M. Jeanblanc T. Bielecki and M. Rutkowski. Hedging of defaultable claims. In R. Carmona et al., editors, Paris Princeton Lectures on Mathematical Finance 2003. Volume 1847 of Lecture Notes in Mathematics, pages 1–132. Springer-Verlag Berlin Heidelberg, 2004.
-
-
-
-
327
-
-
57749085453
-
Arbitrage pricing of defaultable game options with applications to convertible bonds
-
M. Jeanblanc T. Bielecki, S. Crepey and M. Rutkowski. Arbitrage pricing of defaultable game options with applications to convertible bonds. Quantitative Finance, 8:795–810, 2008.
-
(2008)
Quantitative Finance
, vol.8
, pp. 795-810
-
-
Bielecki, M.J.T.1
Crepey, S.2
Rutkowski, M.3
-
328
-
-
84885040176
-
Optimal transportation under controlled stochastic dynamics
-
X. Tan and N. Touzi. Optimal transportation under controlled stochastic dynamics. Annals of Probability, 41:3201–3240, 2013.
-
(2013)
Annals of Probability
, vol.41
, pp. 3201-3240
-
-
Tan, X.1
Touzi, N.2
-
329
-
-
84972526612
-
Stochastic differential equations with reflecting boundary condition in convex regions
-
H. Tanaka. Stochastic differential equations with reflecting boundary condition in convex regions. Hiroshima Mathematical Journal, 9:163–177, 1979.
-
(1979)
Hiroshima Mathematical Journal
, vol.9
, pp. 163-177
-
-
Tanaka, H.1
-
330
-
-
84972541021
-
A lattice theoretic fixed point theorem
-
A. Tarski. A lattice theoretic fixed point theorem. Pacific Journal of Mathematics, 5:285–309, 1955.
-
(1955)
Pacific Journal of Mathematics
, vol.5
, pp. 285-309
-
-
Tarski, A.1
-
333
-
-
38649113278
-
Solvability of backward stochastic differential equations with quadratic growth
-
R. Tevzadze. Solvability of backward stochastic differential equations with quadratic growth. Stochastic Processes and their Applications, 118:503–515, 2008.
-
(2008)
Stochastic Processes and Their Applications
, vol.118
, pp. 503-515
-
-
Tevzadze, R.1
-
335
-
-
55549134308
-
On the existence of random McKean-Vlasov limits for triangular arrays of exchangeable diffusions
-
J. Vaillancourt. On the existence of random McKean-Vlasov limits for triangular arrays of exchangeable diffusions. Stochastic Analysis and Applications, 6(4):431–446, 1988.
-
(1988)
Stochastic Analysis and Applications
, vol.6
, Issue.4
, pp. 431-446
-
-
Vaillancourt, J.1
-
336
-
-
0040522351
-
Strong solutions and explicit formulas for solutions of stochastic integral equations
-
A. Y. Veretennikov. Strong solutions and explicit formulas for solutions of stochastic integral equations. Matematicheskii Sbornik, 111:434–452, 1980.
-
(1980)
Matematicheskii Sbornik
, vol.111
, pp. 434-452
-
-
Veretennikov, A.Y.1
-
339
-
-
44949269402
-
Nash equilibrium with strategic complementarities
-
X. Vives. Nash equilibrium with strategic complementarities. Journal of Mathematical Economics, 19:305–321, 1990.
-
(1990)
Journal of Mathematical Economics
, vol.19
, pp. 305-321
-
-
Vives, X.1
-
341
-
-
0032794959
-
Linear forward backward stochastic differential equations
-
J. Yong. Linear forward backward stochastic differential equations. Applied Mathematics & Optimization, 39:93–119, 1999.
-
(1999)
Applied Mathematics & Optimization
, vol.39
, pp. 93-119
-
-
Yong, J.1
-
342
-
-
32944478196
-
Linear forward backward stochastic differential equations with random coefficients
-
J. Yong. Linear forward backward stochastic differential equations with random coefficients. Probability Theory and Related Fields, 135:53–83, 2006.
-
(2006)
Probability Theory and Related Fields
, vol.135
, pp. 53-83
-
-
Yong, J.1
-
346
-
-
0000251188
-
A transformation of the phase space of a diffusion process that will remove the drift
-
A. K. Zvonkin. A transformation of the phase space of a diffusion process that will remove the drift. Matematicheskii Sbornik, 93:129–149, 1974.
-
(1974)
Matematicheskii Sbornik
, vol.93
, pp. 129-149
-
-
Zvonkin, A.K.1
|