Fetching the paper…
Reading the bibliography…
We develop the fictitious play algorithm in the context of the linear programming approach for mean field games of optimal stopping and mean field games with regular control and absorption.
“Mean Field Games with Branching”, 2019
J. Claisse, Z. Ren and X. Tan · 1912
Earlier work this paper cites.
“N-Player games and mean-field games with smooth dependence on past absorptions”
L. Campi, M. Ghio and G. Livieri · 1939
Earlier work this paper cites.
“Iterative solution of games by Fictitious Play”
G.W. Brown · 1951
Earlier work this paper cites.
“Relaxation of optimal control problems to equivalent convex programs”
R.. Lewis and R.. Vinter · 1980
Earlier work this paper cites.
“Sur un type de convergence intermédiaire entre la convergence en loi et la convergence en probabilité”
J. Jacod and J. Mémin · 1981
Earlier work this paper cites.
“Applications of variational inequalities in stochastic control”
A. Bensoussan and J.-L. Lions · 1982
Earlier work this paper cites.
“Linear Programming Formulation for Optimal Stopping Problems”
M.. Cho and R.. Stockbridge · 1982
Earlier work this paper cites.
“Generalized Solutions in the Optimal Control of Diffusions”
W. Fleming and D. Vermes · 1988
Earlier work this paper cites.
“Action minimizing invariant measures for positive definite Lagrangian systems”
J.. Mather · 1991
Earlier work this paper cites.
“Local times, optimal stopping and semimartingales”
S.. Jacka · 1993
Earlier work this paper cites.
“Generic properties and problems of minimizing measures of Lagrangian systems”
R. Mañé · 1996
Earlier work this paper cites.
“Brownian Motion and Stochastic Calculus”
I. Karatzas and S. Shreve · 1998
Earlier work this paper cites.
“Methods of Mathematical Finance”
I. Karatzas and S. Shreve · 1998
Earlier work this paper cites.
“Existence of Markov controls and characterization of optimal Markov controls”
T. Kurtz and R.. Stockbridge · 1998
Earlier work this paper cites.
“Approximation of infinite-dimensional linear programming problems which arise in stochastic control”
M. Mendiondo and R. Stockbridge · 1998
Earlier work this paper cites.
“Topology, 2nd Ed.”
J.. Munkres · 2000
Earlier work this paper cites.
“Numerical methods for stochastic control problems in continuous time”
H. Kushner and P.. Dupuis · 2001
Earlier work this paper cites.
“A stochastic analogue of Aubry-Mather theory”
D. Gomes · 2002
Cited alongside, same era.
“Tightness, integral equicontinuity and compactness for evolution problems in Banach spaces”
R. Rossi and G. Savaré · 2003
Cited alongside, same era.
“Topics in optimal transportation”, Graduate studies in mathematics
C. Villani · 2003
Cited alongside, same era.
“Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle”
M. Huang, R. Malhamé and P. Caines · 2006
Cited alongside, same era.
“Jeux à champ moyen. I. Le cas stationnaire”
J.-M. Lasry and P.-L. Lions · 2006
Cited alongside, same era.
“Jeux à champ moyen. II. Horizon fini et contrôle optimal”
“Learning in anonymous nonatomic games with applications to first-order mean field games”, 2017
S. Hadikhanloo · 2017
Later among the works it cites.
T.. Kurtz and R.. Stockbridge · 2017
Later among the works it cites.
“N-player games and mean-field games with absorption”
L. Campi and M. Fischer · 2018
Later among the works it cites.
“Cemracs 2017: numerical probabilistic approach to MFG”
A. Angiuli et al · 2019
Later among the works it cites.
“Numerical method for FBSDEs of McKean–Vlasov type”
J.-F. Chassagneux, D. Crisan and F. Delarue · 2019
Later among the works it cites.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
J.-M. Lasry and P.-L. Lions · 2006
Cited alongside, same era.
“Optimal Stopping and Free-Boundary Problems”
G. Peskir and A. Shiryaev · 2006
Cited alongside, same era.
“Infinite dimensional analysis: A hitchhiker’s guide”
C. Aliprantis and K. Border · 2007
Cited alongside, same era.
“Measure theory”
V.I. Bogachev · 2007
Cited alongside, same era.
“Mean field games”
J.-M. Lasry and P.-L. Lions · 2007
Cited alongside, same era.
“Fictitious Play for Mean Field Games: Continuous Time Analysis and Applications”, 2020
S. Perrin et al · 2007
Cited alongside, same era.
“Mean field games: numerical methods”
Y. Achdou and I. Capuzzo-Dolcetta · 2010
Cited alongside, same era.
S. Hadikhanloo and F.. Silva · 2019
Later among the works it cites.
“Mean Field Games and Applications: Numerical Aspects”
Y. Achdou and M. Laurière · 2020
Later among the works it cites.
“A remark on Uzawa’s algorithm and an application to mean field games systems”
C. Bertucci · 2020
Later among the works it cites.
“Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach”
G. Bouveret, R. Dumitrescu and P. Tankov · 2020
Later among the works it cites.
“On the convergence of model free learning in mean field games”
R. Elie et al · 2020
Later among the works it cites.
“The entry and exit game in the electricity markets: A mean-field game approach”
R. Aïd, R. Dumitrescu and P. Tankov · 2021
Later among the works it cites.
“A duality approach to a price formation MFG model”, 2021
Y. Ashrafyan, T. Bakaryan, D. Gomes and J. Gutierrez · 2021
Later among the works it cites.
“Mean field games with absorption and common noise with a model of bank run”, 2021
Matteo Burzoni and Luciano Campi · 2021
Later among the works it cites.
“Control and optimal stopping Mean Field Games: a linear programming approach”
R. Dumitrescu, M. Leutscher and P. Tankov · 2021
Later among the works it cites.
“Technological change in water use: A mean-field game approach to optimal investment timing”
G. Bouveret, R. Dumitrescu and P. Tankov · 2022
Closest in time.
“A unifying framework for submodular mean field games”, 2022
J. Dianetti, G. Ferrari, M. Fischer and M. Nendel · 2022
Closest in time.