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math.OC2022★ 2 cited
Weak solutions to the master equation of potential mean field games
Alekos Cecchin, François Delarue
The purpose of this work is to introduce a notion of weak solution to the master equation of a potential mean field game and to prove that existence and uniqueness hold under quite…
math.PR2022
Probabilistic rough paths II Lions-Taylor expansions and Random controlled rough paths
François Delarue, William Salkeld
In line with the notion of probabilistic rough paths introduced in the previous contribution \cite{salkeld2021Probabilistic}, we address corresponding random controlled rough paths…