4 citations · 9 across the 5 of their papers we have counts for
6 papers · 1 filter
Non-exponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and Control
Julio Backhoff-Veraguas, Daniel Lacker, Ludovic Tangpi
We derive new limit theorems for Brownian motion, which can be seen as non-exponential analogues of the large deviation theorems of Sanov and Schilder in their Laplace principle fo…
On the convergence of closed-loop Nash equilibria to the mean field game limit
Daniel Lacker
This paper continues the study of the mean field game (MFG) convergence problem: In what sense do the Nash equilibria of -player stochastic differential games converge to the me…
On a strong form of propagation of chaos for McKean-Vlasov equations
Daniel Lacker
This note shows how to considerably strengthen the usual mode of convergence of an -particle system to its McKean-Vlasov limit, often known as propagation of chaos, when the vol…
Denseness of adapted processes among causal couplings
Mathias Beiglböck, Daniel Lacker
It is well known that any pair of random variables with values in Polish spaces, provided that is nonatomic, can be approximated in joint law by random variables of the…
From the master equation to mean field game limit theory: Large deviations and concentration of measure
Francois Delarue, Daniel Lacker, Kavita Ramanan
We study a sequence of symmetric -player stochastic differential games driven by both idiosyncratic and common sources of noise, in which players interact with each other throug…
From the master equation to mean field game limit theory: A central limit theorem
Francois Delarue, Daniel Lacker, Kavita Ramanan
Mean field games (MFGs) describe the limit, as tends to infinity, of stochastic differential games with players interacting with one another through their common empirical…