A new min-max robust formulation for mean field control and variational mean field games is introduced, with existence, uniqueness, and a stochastic maximum principle established under convexity-concavity assumptions.
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Proves existence and uniqueness of mean-field equilibrium in a stochastic optimal investment game with price interaction through expected production capacity, for finite and infinite time horizons, plus the deterministic counterpart.
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Robust mean field control: stochastic maximum principle and variational mean field games
A new min-max robust formulation for mean field control and variational mean field games is introduced, with existence, uniqueness, and a stochastic maximum principle established under convexity-concavity assumptions.
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Existence and uniqueness results for a mean-field game of optimal investment
Proves existence and uniqueness of mean-field equilibrium in a stochastic optimal investment game with price interaction through expected production capacity, for finite and infinite time horizons, plus the deterministic counterpart.