Solvability of Infinite horizon McKean-Vlasov FBSDEs in Mean Field Control Problems and Games
arXiv:2102.09619
Abstract
In this paper, we show existence and uniqueness of solutions of the infinite horizon McKean-Vlasov FBSDEs using two different methods, which lead to two different sets of assumptions. We use these results to solve the infinite horizon mean field type control problems and mean field games.
To appear in Applied Mathematics and Optimization. Keywords: McKean-Vlasov FBSDE, infinite horizon, mean field game, mean field type control