Related papers: Noise through an additional variable for mean fiel…
We consider solutions satisfying the Neumann zero boundary condition and a linearized mean field game system in $\Omega \times (0,T)$, where $\Omega$ is a bounded domain in $\mathbb{R}^d$ and $(0,T)$ is the time interval. We prove two kinds…
In this paper we study the classical solution to the master equation arising from mean-field games (MFGs) driven by jump-diffusion processes. The master equation, a nonlinear partial differential equation on Wasserstein space, characterizes…
Mean field games (MFGs) offer a powerful framework for modeling large-scale multi-agent systems. This paper addresses MFGs formulated in continuous time with discrete state spaces, where agents' dynamics are governed by continuous-time…
We investigate the convergence of symmetric stochastic differential games with interactions via control, where the volatility terms of both idiosyncratic and common noises are controlled. We apply the stochastic maximum principle, following…
The theory of Mean Field Game of Controls considers a class of mean field games where the interaction is through the joint distribution of the state and control. It is well known that, for standard mean field games, certain monotonicity…
Mean field games formalize dynamic games with a continuum of players and explicit interaction where the players can have heterogeneous states. As they additionally yield approximate equilibria of corresponding $N$-player games, they are of…
We report relationships between the effects of noise and applied constant currents on the behavior of a system of excitable elements. The analytical approach based on the nonlinear Fokker-Planck equation of a mean-field model allows us to…
In this manuscript we derive a new nonlinear transport equation written on the space of probability measures that allows to study a class of deterministic mean field games and master equations, where the interaction of the agents happens…
We provide an abstract framework for submodular mean field games and identify verifiable sufficient conditions that allow to prove existence and approximation of strong mean field equilibria in models where data may not be continuous with…
In this note we prove the uniqueness of solutions to a class of Mean Field Games systems subject to possibly degenerate individual noise. Our results hold true for arbitrary long time horizons and for general non-separable Hamiltonians that…
Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical setting, the number of players is large but fixed throughout…
We present a detailed derivation of the stochastic master equation determining the time evolution of the state of a general quantum system, which is placed inside a cavity and subjected to indirect measurements by monitoring the state of…
The problem on identification of a limit of an ordinary differential equation with discontinuous drift that perturbed by a zero-noise is considered in multidimensional case. This problem is a classical subject of stochastic analysis.…
We prove the global-in-time well-posedness for a broad class of mean field game problems, which is beyond the special linear-quadratic setting, as long as the mean field sensitivity is not too large. Through the stochastic maximum…
In this manuscript we study the well-posedness of the master equations for mean field games with volatility control. This infinite dimensional PDE is nonlinear with respect to both the first and second-order derivatives of its solution. For…
By extending \cite{bensoussan2015control}, we implement the proposal of Lions \cite{lions14} on studying mean field games and their master equations via certain control problems on the Hilbert space of square integrable random variables. In…
A system of partial differential equations representing stochastic neural fields was recently proposed with the aim of modelling the activity of noisy grid cells when a mammal travels through physical space. The system was rigorously…
We consider a multi-player stochastic differential game with linear McKean-Vlasov dynamics and quadratic cost functional depending on the variance and mean of the state and control actions of the players in open-loop form. Finite and…
We establish the existence and uniqueness of a solution to the master equation for a mean field game of controls with absorption. The mean field game arises as a continuum limit of a dynamic game of exhaustible resources modeling Cournot…
A model is proposed that describes the evolution of a mixed state of a quantum system for which gain and loss of energy or amplitude are present. Properties of the model are worked out in detail. In particular, invariant subspaces of the…