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math.PR2021★ 2 cited
Non-asymptotic convergence rates for mean-field games: weak formulation and McKean-Vlasov BSDEs
Dylan Possamaï, Ludovic Tangpi
This work is mainly concerned with the so-called limit theory for mean-field games. Adopting the weak formulation paradigm put forward by Carmona and Lacker, we consider a fully no…
math.PR2021
Laplace principle for large population games with control interaction
Peng Luo, Ludovic Tangpi
This work investigates continuous time stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both th…