Probabilistic theory of mean field games with applications, I, mean field FBSDEs, control, and games / René Carmona, François Delarue
Type de document : MonographieCollection : Probability theory and stochastic modelling, 83Langue : anglais.Pays: Swisse.Éditeur : Cham : Springer , 2018Description : 1 vol. (XXV-713 p.) : fig. ; 25 cmISBN: 9783319564371.ISSN: 2199-3130.Bibliographie : Bibliogr. p. 681-695. Index.Sujet MSC : 60H15, Probability theory and stochastic processes - Stochastic analysis, Stochastic partial differential equations60H30, Probability theory and stochastic processes - Stochastic analysis, Applications of stochastic analysis (to PDEs, etc.)
91A15, Game theory, Stochastic games, stochastic differential games
91A80, Game theory, Applications of game theory
93E03, Stochastic systems in control theory (general)En-ligne : zbMath | MSN
| Item type | Current library | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|
Monographie
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CMI Salle 1 | 60 CAR (Browse shelf(Opens below)) | Available | 12610-01 |
Publisher’s description: Volume I of the book is entirely devoted to the theory of mean field games without a common noise. The first half of the volume provides a self-contained introduction to mean field games, starting from concrete illustrations of games with a finite number of players, and ending with ready-for-use solvability results. Readers are provided with the tools necessary for the solution of forward-backward stochastic differential equations of the McKean-Vlasov type at the core of the probabilistic approach. The second half of this volume focuses on the main principles of analysis on the Wasserstein space. It includes Lions’ approach to the Wasserstein differential calculus, and the applications of its results to the analysis of stochastic mean field control problems.
Bibliogr. p. 681-695. Index
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