6 papers
Learning controls in mean field games: the fictitious play and related gradient descent
Charles Meynard
We investigate two learning procedures and their relationship to the formation of equilibrium in potential mean field games (MFGs). The first one is a version of the fictitious pla…
Lipschitz solutions to mean field games with a major player and applications
Charles Meynard
This paper introduces a notion of weak solution for the coupled system of master equations in mean field games with a major player. It extends the previously introduced notion of L…
Extragradient methods for mean field games of controls and mean field type FBSDEs
Charles Meynard
In this paper we present a numerical scheme to solve coupled mean field forward-backward stochastic differential equations driven by monotone vector fields. This is based on an ada…
Monotone solutions to mean field games master equation in the L2-monotone setting
Charles Meynard
This paper is concerned with extending the notion of monotone solution to the mean field game (MFG) master equation to situations in which the coefficients are displacement monoton…
A study of common noise in mean field games
Charles Meynard, Charles Bertucci
This paper is concerned with the study of mean field games master equations involving an additional variable modelling common noise. We address cases in which the dynamics of this…
Noise through an additional variable for mean field games master equation on finite state space
Charles Bertucci, Charles Meynard
This paper provides a mathematical study of the well-posedness of master equation on finite state space involving terms modelling common noise. In this setting, the solution of the…