Solvability of Infinite Horizon McKean–Vlasov FBSDEs in Mean Field Control Problems and Games

Erhan Bayraktar; Xin Zhang

doi:10.1007/s00245-022-09926-4

Solvability of Infinite Horizon McKean–Vlasov FBSDEs in Mean Field Control Problems and Games

Erhan Bayraktar, Xin Zhang

Finance and Risk Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper, we show existence and uniqueness of solutions of the infinite horizon McKean–Vlasov FBSDEs using two different methods, which lead to two different sets of assumptions. We use these results to solve the infinite horizon mean field type control problems and mean field games.

Original language	English (US)
Article number	13
Journal	Applied Mathematics and Optimization
Volume	87
Issue number	1
DOIs	https://doi.org/10.1007/s00245-022-09926-4
State	Published - Feb 2023

Keywords

Infinite horizon
McKean–Vlasov FBSDE
Mean field game
Mean field type control

ASJC Scopus subject areas

Control and Optimization
Applied Mathematics

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10.1007/s00245-022-09926-4

Cite this

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abstract = "In this paper, we show existence and uniqueness of solutions of the infinite horizon McKean–Vlasov FBSDEs using two different methods, which lead to two different sets of assumptions. We use these results to solve the infinite horizon mean field type control problems and mean field games.",

keywords = "Infinite horizon, McKean–Vlasov FBSDE, Mean field game, Mean field type control",

author = "Erhan Bayraktar and Xin Zhang",

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Solvability of Infinite Horizon McKean–Vlasov FBSDEs in Mean Field Control Problems and Games

Abstract

Keywords

ASJC Scopus subject areas

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