Concepedia

Forward–backward stochastic differential equations with monotone functionals and mean field games with common noise

Saran Ahuja, Weiluo Ren, Tzu-Wei Yang

Stochastic Processes and their Applications · 2019 · 26 citations · 21 references

DOI

Concepts

References

21

Mean field games

Jean‐Michel Lasry, Pierre-Louis Lions · Japanese journal of mathematics · 2007 · 2.6K citations

Solving forward-backward stochastic differential equations explicitly — a four step scheme

Jin Ma, Philip Protter, Jiongmin Yong · Probability Theory and Related Fields · 1994 · 755 citations · Full text

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Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

Shigē Péng, Zhen Wu · SIAM Journal on Control and Optimization · 1999 · 508 citations

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Probabilistic Analysis of Mean-Field Games

René Carmona, François Delarue · SIAM Journal on Control and Optimization · 2013 · 445 citations

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Mean Field Games Models—A Brief Survey

Diogo A. Gomes, João Saúde · Dynamic Games and Applications · 2013 · 363 citations

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