Geodesic
Mean field games: the master equation and the mean field limit
Cardaliaguet, Pierre1
1Ceremade, Université Paris-Dauphine France
Séminaire Laurent Schwartz — EDP et applications (2015-2016), Talk no. 17, 10 p.

See the original proceeding notice from the Numdam source

We present here results obtained in the joint work with Delarue, Lasry and Lions [4] on the convergence, as N tends to infinity, of a system of N coupled Hamilton-Jacobi equations, the Nash system. This system arises in differential game theory. The limit problem can be expressed in terms of the “Mean Field Game” system (coupling a Hamilton-Jacobi equation with a Fokker-Planck equation), or, alternatively, in terms of the “master equation” (a kind of second order partial differential equation stated on the space of probability measures). We also discuss the behavior of the optimal trajectories, for which we show a propagation of chaos property.

Published online:
DOI: 10.5802/slsedp.99

Cardaliaguet, Pierre  1

1 Ceremade, Université Paris-Dauphine France 
Cardaliaguet, Pierre. Mean field games: the master equation and the mean field limit. Séminaire Laurent Schwartz — EDP et applications (2015-2016), Talk no. 17, 10 p.. doi: 10.5802/slsedp.99
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