Convergence, fluctuations and large deviations for finite state mean field games via the Master Equation
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DOI: 10.1016/j.spa.2018.12.002
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Cited by:
- Christoph Belak & Daniel Hoffmann & Frank T. Seifried, 2020. "Continuous-Time Mean Field Games with Finite StateSpace and Common Noise," Working Paper Series 2020-05, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- René Carmona & Peiqi Wang, 2021. "A Probabilistic Approach to Extended Finite State Mean Field Games," Mathematics of Operations Research, INFORMS, vol. 46(2), pages 471-502, May.
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Keywords
Mean field games; Finite state space; Jump Markov processes; N-person games; Nash equilibrium; Master Equation; Propagation of chaos; Central Limit Theorem; Large Deviation Principle;All these keywords.
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