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This project investigates numerical methods for solving fully coupled forward-backward stochastic differential equations (FBSDEs) of McKean-Vlasov type.
D. A. Gomes and H. Mitake. Existence for stationary mean-field games with congestion and quadratic Hamiltonians. Nonlinear Differential Equations and Applications NoDEA 22.6
1910
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1956
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F. Delarue. On the Existence and Uniqueness of Solutions to FBSDEs in a Non-Degenerate Case. Stochastic Processes and Applications
2002
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Bouchard, Bruno and Touzi, Nizar, Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations, Stochastic Processes and their applications
2004
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F. Delarue and S. Menozzi. A forward-backward stochastic algorithm for quasi-linear PDEs Ann. Appl. Probab
2006
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M. Huang, P. E. Caines, and R. P. Malhamé. Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle. Communications in Information and Systems
2006
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J. M. Lasry, and P. L. Lions. Mean field games. Japanese journal of mathematics
2007
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Y. Achdou and I. Capuzzo-Dolcetta. Mean field games: numerical methods SIAM J. Numer. Anal
2010
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C. Harris, S. Howison, and R. Sircar. Games with exhaustible resources (2010). SIAM Journal on Applied Mathematics
2010
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A. Lachapelle, J. Salomon and G. Turinici. Computation of mean field equilibria in economics, Mathematical Models and Methods in Applied Sciences
2010
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A. Lachapelle, and M.T. Wolfram. On a mean field game approach modeling congestion and aversion in pedestrian crowds. Transportation research part B: methodological
2011
Cited alongside, same era.
M. Nourian, P. E. Caines, and R. P. Malhamé. Synthesis of Cucker-Smale type flocking via mean field stochastic control theory: Nash equilibria. IEEE
2011
Cited alongside, same era.
M. Nourian, P. E. Caines, and R. P. Malhamé. Mean field analysis of controlled Cucker-Smale type flocking: Linear analysis and perturbation equations. IFAC Proceedings Volumes
2011
Cited alongside, same era.
O. Guéant. New numerical methods for mean field games with quadratic costs, Networks and Heterogeneous Media
2012
Cited alongside, same era.
Y. Achdou, F. Camilli and I. Capuzzo-Dolcetta. Mean field games: convergence of a finite difference method, SIAM J. Numer. Anal
2013
D. A. Gomes and J. Saúde. Mean field games models- a brief survey. Dynamic Games and Applications
2014
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J.D. Benamou and G. Carlier, Augmented Lagrangian Methods for Transport Optimization, Mean Field Games and Degenerate Elliptic Equations, Journal of Optimization Theory and Applications
2015
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Y. Achdou and M. Laurière. Mean field type control with congestion. Applied Mathematics & Optimization
2016
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Y. Achdou and A. Porretta. Convergence of a Finite Difference Scheme to Weak Solutions of the System of Partial Differential Equations Arising in Mean Field Games, SIAM J. Numer. Anal
2016
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R. Carmona and F. Delarue. Probabilistic analysis of mean-field games. SIAM Journal on Control and Optimization
2013
Cited alongside, same era.
R. Carmona, F. Delarue, and A. Lachapelle. Control of McKean-Vlasov versus Mean Field Games. Mathematics and Financial Economics
2013
Cited alongside, same era.
R. Carmona, J.P. Fouque, and L.H. Sun. Mean field games and systemic risk. arXiv:1308.2172 (2013)
2013
Cited alongside, same era.
D. A. Gomes and V. K. Voskanyan. Extended mean field games. Izv. Nats. Akad. Nauk Armenii Mat
2013
Cited alongside, same era.
2014
Cited alongside, same era.
2016
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2016
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J.F. Chassagneux, A. Richou. Numerical simulations of quadratic BSDEs. The Annals of Applied Probability
2016
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P. Chan, and R. Sircar. Fracking, Renewables, and Mean Field Games. SIAM Review
2017
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2017
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R. Carmona, and F. Delarue. Probabilistic approach to mean field games, Volume 1. Springer
2018
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