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math.PR2026
Local well-posedness of general mean field game master equations
Chenchen Mou, Jianfeng Zhang, Jianjun Zhou
This paper presents a generic approach for establishing mean field game master equations, applicable whenever the mean field equilibrium can be characterized by a McKean-Vlasov for…
math.PR2010★ 151 cited
Dual formulation of second order target problems
H. Mete Soner, Nizar Touzi, Jianfeng Zhang
This paper provides a new formulation of second order stochastic target problems introduced in [SIAM J. Control Optim. 48 (2009) 2344-2365] by modifying the reference probability s…