Probabilistic Theory of Mean Field Games with Applications II Mean Field Games with Common Noise and Master Equations /

• Main Authors: Carmona, René (Author, http://id.loc.gov/vocabulary/relators/aut), Delarue, François (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Edition: 1st ed. 2018.
• Series: Probability Theory and Stochastic Modelling, 84
• Subjects: Probabilities.; Calculus of variations.; Partial differential equations.; Economic theory.; Probability Theory and Stochastic Processes.; Calculus of Variations and Optimal Control; Optimization.; Partial Differential Equations.; Economic Theory/Quantitative Economics/Mathematical Methods.

This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions. Volume II tackl...

Table of Contents:

• Foreword
• Preface to Volume II
• Part I: MFGs with a Common Noise
• Optimization in a Random Environment
• MFGs with a Common Noise: Strong and Weak Solutions
• Solving MFGs with a Common Noise
• Part II: The Master Equation, Convergence, and Approximation Problems
• The Master Field and the Master Equation
• Classical Solutions to the Master Equation
• Convergence and Approximations
• Epilogue to Volume II
• Extensions for Volume II
• References
• Indices.