Jeux à champ moyen. II – Horizon fini et contrôle optimal |
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Authors: | Jean-Michel Lasry Pierre-Louis Lions |
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Affiliation: | 1. Institut de Finance, Université Paris-Dauphine, place du Maréchal de Lattre de Tassigny, 75775 Paris cedex 16, France;2. Collège de France, 3, rue d''Ulm, 75005 Paris, France;3. Ceremade – UMR CNRS 7534, Université Paris-Dauphine, place du Maréchal de Lattre de Tassigny, 75775 Paris cedex 16, France |
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Abstract: | We continue in this Note our study of the notion of mean field games that we introduced in a previous Note. We consider here the case of Nash equilibria for stochastic control type problems in finite horizon. We present general existence and uniqueness results for the partial differential equations systems that we introduce. We also give a possible interpretation of these systems in term of optimal control. To cite this article: J.-M. Lasry, P.-L. Lions, C. R. Acad. Sci. Paris, Ser. I 343 (2006). |
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