Stochastic Differential Mean-Field Games in a Weak Formulation

We study a Mean Field Game system in a weak formulation through its associated McKean-Vlasov Forward-Backward Stochastic Differential Equation (FBSDE). Our main goal is to obtain existence and regularity results of this FBSDE using the techniques of Malliavin calculus, in particular, classical and M...

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Bibliographic Details
Published in:arXiv.org 2023-09
Main Authors: Hector Sanchez Morgado, Sierra, Jesus
Format: Article
Language:English
Subjects:
Decoupling
Differential equations
Online Access:Get full text
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Summary:We study a Mean Field Game system in a weak formulation through its associated McKean-Vlasov Forward-Backward Stochastic Differential Equation (FBSDE). Our main goal is to obtain existence and regularity results of this FBSDE using the techniques of Malliavin calculus, in particular, classical and Malliavin differentiability. Using these results, we characterize the decoupling (master) field.
ISSN:2331-8422