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Mean field games via controlled martingale problems: Existence of Markovian equilibria

Citations

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Cited by:

  1. Samuel Daudin, 2022. "Optimal Control of Diffusion Processes with Terminal Constraint in Law," Journal of Optimization Theory and Applications, Springer, vol. 195(1), pages 1-41, October.
  2. Dianetti, Jodi & Nendel, Max & Tangpi, Ludovic & Wang, Shichun, 2025. "Pasting of Equilibria and Donsker-type Results for Mean Field Games," Center for Mathematical Economics Working Papers 743, Center for Mathematical Economics, Bielefeld University.
  3. Bouveret, Géraldine & Dumitrescu, Roxana & Tankov, Peter, 2022. "Technological change in water use: A mean-field game approach to optimal investment timing," Operations Research Perspectives, Elsevier, vol. 9(C).
  4. Andr'es C'ardenas & Sergio Pulido & Rafael Serrano, 2022. "Existence of optimal controls for stochastic Volterra equations," Papers 2207.05169, arXiv.org, revised Mar 2024.
  5. Lu-ping Liu & Wen-sheng Jia, 2024. "Well-Posedness for Mean Field Games with Finite State and Action Space," Journal of Optimization Theory and Applications, Springer, vol. 201(1), pages 36-53, April.
  6. Dianetti, Jodi & Ferrari, Giorgio & Fischer, Markus & Nendel, Max, 2019. "Submodular Mean Field Games. Existence and Approximation of Solutions," Center for Mathematical Economics Working Papers 621, Center for Mathematical Economics, Bielefeld University.
  7. Robert Denkert & Ulrich Horst, 2024. "Extended mean-field games with multi-dimensional singular controls and non-linear jump impact," Papers 2402.09317, arXiv.org, revised Nov 2024.
  8. Berenice Anne Neumann, 2020. "Stationary Equilibria of Mean Field Games with Finite State and Action Space," Dynamic Games and Applications, Springer, vol. 10(4), pages 845-871, December.
  9. Cao, Haoyang & Guo, Xin, 2022. "MFGs for partially reversible investment," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 995-1014.
  10. Fu, Guanxing & Horst, Ulrich, 2017. "Mean Field Games with Singular Controls," Rationality and Competition Discussion Paper Series 22, CRC TRR 190 Rationality and Competition.
  11. Bezemek, Z.W. & Spiliopoulos, K., 2023. "Large deviations for interacting multiscale particle systems," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 27-108.
  12. Talbi, Mehdi, 2024. "A finite-dimensional approximation for partial differential equations on Wasserstein space," Stochastic Processes and their Applications, Elsevier, vol. 177(C).
  13. repec:hal:wpaper:hal-03720342 is not listed on IDEAS
  14. Ulrich Horst & Takashi Sato, 2026. "Mean-field games with unbounded controls: a weak formulation approach to global solutions," Papers 2603.05624, arXiv.org, revised Jul 2026.
  15. Mao Fabrice Djete & Dylan Possamaï & Xiaolu Tan, 2022. "McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations," Mathematics of Operations Research, INFORMS, vol. 47(4), pages 2891-2930, November.
  16. Dianetti, Jodi & Ferrari, Giorgio & Fischer, Markus & Nendel, Max, 2022. "A Unifying Framework for Submodular Mean Field Games," Center for Mathematical Economics Working Papers 661, Center for Mathematical Economics, Bielefeld University.
  17. Andrés Cárdenas & Sergio Pulido & Rafael Serrano, 2025. "Existence of optimal controls for stochastic Volterra equations," Post-Print hal-03720342, HAL.
  18. Haotian Gu & Xin Guo & Xiaoli Wei & Renyuan Xu, 2023. "Dynamic Programming Principles for Mean-Field Controls with Learning," Operations Research, INFORMS, vol. 71(4), pages 1040-1054, July.
  19. Benazzoli, Chiara & Campi, Luciano & Di Persio, Luca, 2020. "Mean field games with controlled jump–diffusion dynamics: Existence results and an illiquid interbank market model," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 6927-6964.
  20. Sina Sanjari & Naci Saldi & Serdar Yüksel, 2023. "Optimality of Independently Randomized Symmetric Policies for Exchangeable Stochastic Teams with Infinitely Many Decision Makers," Mathematics of Operations Research, INFORMS, vol. 48(3), pages 1254-1285, August.
  21. Xin Guo & Renyuan Xu & Thaleia Zariphopoulou, 2022. "Entropy Regularization for Mean Field Games with Learning," Mathematics of Operations Research, INFORMS, vol. 47(4), pages 3239-3260, November.
  22. Kaitong Hu & Zhenjie Ren & Junjian Yang, 2019. "Principal-agent problem with multiple principals," Working Papers hal-02088486, HAL.
  23. Xin Guo & Anran Hu & Renyuan Xu & Junzi Zhang, 2023. "A General Framework for Learning Mean-Field Games," Mathematics of Operations Research, INFORMS, vol. 48(2), pages 656-686, May.
  24. Guanxing Fu & Paulwin Graewe & Ulrich Horst & Alexandre Popier, 2021. "A Mean Field Game of Optimal Portfolio Liquidation," Mathematics of Operations Research, INFORMS, vol. 46(4), pages 1250-1281, November.
  25. Jodi Dianetti & Giorgio Ferrari & Markus Fischer & Max Nendel, 2023. "A Unifying Framework for Submodular Mean Field Games," Mathematics of Operations Research, INFORMS, vol. 48(3), pages 1679-1710, August.
  26. Burzoni, Matteo & Campi, Luciano, 2023. "Mean field games with absorption and common noise with a model of bank run," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 206-241.
  27. Daniel Lacker & Agathe Soret, 2023. "A Label-State Formulation of Stochastic Graphon Games and Approximate Equilibria on Large Networks," Mathematics of Operations Research, INFORMS, vol. 48(4), pages 1987-2018, November.
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