Continuous-Time Mean Field Games with Finite State Space and Common Noise
dc.contributor.author | Belak, Christoph | |
dc.contributor.author | Hoffmann, Daniel | |
dc.contributor.author | Seifried, Frank T. | |
dc.date.accessioned | 2021-12-06T18:37:34Z | |
dc.date.available | 2021-12-06T18:37:34Z | |
dc.date.issued | 2021-02-07 | |
dc.description.abstract | We formulate and analyze a mathematical framework for continuous-time mean field games with finitely many states and common noise, including a rigorous probabilistic construction of the state process and existence and uniqueness results for the resulting equilibrium system. The key insight is that we can circumvent the master equation and reduce the mean field equilibrium to a system of forward-backward systems of (random) ordinary differential equations by conditioning on common noise events. In the absence of common noise, our setup reduces to that of Gomes, Mohr and Souza (Appl Math Optim 68(1): 99–143, 2013) and Cecchin and Fischer (Appl Math Optim 81(2):253–300, 2020). | en |
dc.description.sponsorship | DFG, 264747124, GRK 2126: Algorithmic Optimization (ALOP) | en |
dc.description.sponsorship | TU Berlin, Open-Access-Mittel – 2021 | en |
dc.identifier.eissn | 1432-0606 | |
dc.identifier.issn | 0095-4616 | |
dc.identifier.uri | https://depositonce.tu-berlin.de/handle/11303/13986 | |
dc.identifier.uri | http://dx.doi.org/10.14279/depositonce-12759 | |
dc.language.iso | en | en |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | en |
dc.subject.ddc | 510 Mathematik | de |
dc.subject.other | common noise | en |
dc.subject.other | Markov chains | en |
dc.subject.other | mean field games | en |
dc.subject.other | regime shifts | en |
dc.title | Continuous-Time Mean Field Games with Finite State Space and Common Noise | en |
dc.type | Article | en |
dc.type.version | publishedVersion | en |
dcterms.bibliographicCitation.doi | 10.1007/s00245-020-09743-7 | en |
dcterms.bibliographicCitation.issue | 3 | en |
dcterms.bibliographicCitation.journaltitle | Applied Mathematics & Optimization | en |
dcterms.bibliographicCitation.originalpublishername | Springer Nature | en |
dcterms.bibliographicCitation.originalpublisherplace | New York, NY | en |
dcterms.bibliographicCitation.pageend | 3216 | en |
dcterms.bibliographicCitation.pagestart | 3173 | en |
dcterms.bibliographicCitation.volume | 84 | en |
tub.accessrights.dnb | free | en |
tub.affiliation | Fak. 2 Mathematik und Naturwissenschaften::Inst. Mathematik::FG Finanzmathematik | de |
tub.affiliation.faculty | Fak. 2 Mathematik und Naturwissenschaften | de |
tub.affiliation.group | FG Finanzmathematik | de |
tub.affiliation.institute | Inst. Mathematik | de |
tub.publisher.universityorinstitution | Technische Universität Berlin | en |
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