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arXiv · 2005.07542

Controlled diffusion Mean Field Games with common noise, and McKean-Vlasov second order backward SDEs

Adrien Barrasso·Nizar Touzi
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Abstract

We consider a mean field game with common noise in which the diffusion coefficients may be controlled. We prove existence of a weak relaxed solution under some continuity conditions on the coefficients. We then show that, when there is no common noise, the solution of this mean field game is characterized by a McKean-Vlasov type second order backward SDE.

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Adrien Barrasso, Nizar Touzi. 2020-05-15. Controlled diffusion Mean Field Games with common noise, and McKean-Vlasov second order backward SDEs. https://arxiv.org/abs/2005.07542

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