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Probabilistic Theory of Mean Field Games with Applications I - René Carmona, François Delarue

Probabilistic Theory of Mean Field Games with Applications I

Mean Field FBSDEs, Control, and Games
Buch | Softcover
XXVI, 714 Seiten
2019 | 1. Softcover reprint of the original 1st ed. 2018
Springer International Publishing (Verlag)
978-3-030-13260-6 (ISBN)
CHF 239,65 inkl. MwSt

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 I of the book is entirely devoted to the theory of mean field games without a common noise. The first half of the volume provides a self-contained introduction to mean field games, starting from concrete illustrations of games with a finite number of players, and ending with ready-for-use solvability results. Readers are provided with the tools necessary for the solution of forward-backward stochastic differential equations of the McKean-Vlasov type at the core of the probabilistic approach. The second half of this volume focuses on the main principles of analysis on the Wasserstein space. It includes Lions' approach to the Wasserstein differential calculus, and the applications of its resultsto the analysis of stochastic mean field control problems. 

Together, both Volume I and Volume II will greatly benefit mathematical graduate students and researchers interested in mean field games. The authors provide a detailed road map through the book allowing different access points for different readers and building up the level of technical detail. The accessible approach and overview will allow interested researchers in the applied sciences to obtain a clear overview of the state of the art in mean field games.

Preface to Volume I.- Part I: The Probabilistic Approach to Mean Field Games.- Learning by Examples: What is a Mean Field Game?.- Probabilistic Approach to Stochastic Differential Games.- Stochastic Differential Mean Field Games.- FBSDEs and the Solution of MFGs without Common Noise.- Part II: Analysis on Wasserstein Space and Mean Field Control.- Spaces of Measures and Related Differential Calculus.- Optimal Control of SDEs of McKean-Vlasov Type.- Epologue to Volume I.- Extensions for Volume I. References.- Indices.

"The text is very well-written and can be used to study the theory on various levels. It develops systematically from the wealth of motivating examples and heuristical considerations, through the carefully chosen collection of in-depth explained preliminaries, to the extensive nontrivial theory explained in full detail. ... The book is highly recommended for those interested in the foundations and the up-to-date development of MFGs, as well as in the general area of stochastic control and related issues of analysis and probability." (Vassili, Mathematical Reviews, January, 2019)

“The text is very well-written and can be used to study the theory on various levels. It develops systematically from the wealth of motivating examples and heuristical considerations, through the carefully chosen collection of in-depth explained preliminaries, to the extensive nontrivial theory explained in full detail. … The book is highly recommended for those interested in the foundations and the up-to-date development of MFGs, as well as in the general area of stochastic control and related issues of analysis and probability.” (Vassili, Mathematical Reviews, January, 2019)

Erscheinungsdatum
Reihe/Serie Probability Theory and Stochastic Modelling
Zusatzinfo XXVI, 714 p.
Verlagsort Cham
Sprache englisch
Maße 155 x 235 mm
Gewicht 1116 g
Themenwelt Mathematik / Informatik Mathematik Wahrscheinlichkeit / Kombinatorik
Schlagworte Analysis on Wasserstein Space • Applications in Economics and Social Science • Forward Backward Stochastic Differential Equations • Game Theory • Master Equations • Mean Field Control • mean field games • Optimal Stochastic Control • Partial differential equations
ISBN-10 3-030-13260-9 / 3030132609
ISBN-13 978-3-030-13260-6 / 9783030132606
Zustand Neuware
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