The paper establishes existence, uniqueness, and stability for linear-quadratic mean-field games with rough common noise via a novel Volterra formulation and rough FBSDEs.
Pontryagin Maximum Principle for rough stochastic systems and pathwise stochastic control
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Mean-field games with rough common noise: the linear-quadratic case
The paper establishes existence, uniqueness, and stability for linear-quadratic mean-field games with rough common noise via a novel Volterra formulation and rough FBSDEs.