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Mean Field Games

dc.contributor.authorLions, Pierre-Louis
dc.contributor.authorLasry, Jean-Michel
dc.date.accessioned2009-10-16T13:13:17Z
dc.date.available2009-10-16T13:13:17Z
dc.date.issued2007
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2263
dc.language.isoenen
dc.subjectMean-Field Modelsen
dc.subject.ddc519en
dc.subject.classificationjelC7en
dc.titleMean Field Gamesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe survey here some recent studies concerning what we call mean-field models by analogy with Statistical Mechanics and Physics. More precisely, we present three examples of our mean-field approach to modelling in Economics and Finance (or other related subjects. . . ). Roughly speaking, we are concerned with situations that involve a very large number of “rational players” with a limited information (or visibility) on the “game”. Each player chooses his optimal strategy in view of the global (or macroscopic) informations that are available to him and that result from the actions of all players. In the three examples we mention here, we derive a mean-field problem which consists in nonlinear differential equations. These equations are of a new type and our main goal here is to study them and establish their links with various fields of Analysis. We show in particular that these nonlinear problems are essentially well-posed problems i.e. have unique solutions. In addition, we give various limiting cases, examples and possible extensions. And we mention many open problems.en
dc.relation.isversionofjnlnameJapanese Journal of Mathematics
dc.relation.isversionofjnlvol2
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2007
dc.relation.isversionofjnlpages229-260
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s11537-007-0657-8
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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