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The Master Equation and the Convergence Problem in Mean Field Games – (AMS-201) - Princeton Scholarship Online
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The Master Equation and the Convergence Problem in Mean Field Games: (AMS-201)

Pierre Cardaliaguet, François Delarue, Jean-Michel Lasry, and Pierre-Louis Lions

Abstract

This book describes the latest advances in the theory of mean field games, which are optimal control problems with a continuum of players, each of them interacting with the whole statistical distribution of a population. While it originated in economics, this theory now has applications in areas as diverse as mathematical finance, crowd phenomena, epidemiology, and cybersecurity. Because mean field games concern the interactions of infinitely many players in an optimal control framework, one expects them to appear as the limit for Nash equilibria of differential games with finitely many player ... More

Keywords: mean field games, mathematical finance, crowd phenomena, epidemiology, cybersecurity, differential games

Bibliographic Information

Print publication date: 2019 Print ISBN-13: 9780691190716
Published to Princeton Scholarship Online: May 2020 DOI:10.23943/princeton/9780691190716.001.0001

Authors

Affiliations are at time of print publication.

Pierre Cardaliaguet, author
Paris Dauphine University

François Delarue, author
University of Nice Sophia Antipolis

Jean-Michel Lasry, author
Paris Dauphine University

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