Translation invariant mean field games with common noise

2014/09/25 by Lacker, Daniel, Webster, Kevin
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)

paper · doi:10.48550/arxiv.1409.7345

Abstract

This note highlights a special class of mean field games in which the coefficients satisfy a convolution-type structural condition. A mean field game of this type with common noise is related to a certain mean field game without common noise by a simple transformation, which permits a tractable construction of a solution of the problem with common noise from a solution of the problem without.

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