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arXiv:2102.09619 [math.OC]AbstractReferencesReviewsResources

Solvability of Infinite horizon McKean-Vlasov FBSDEs in Mean Field Control Problems and Games

Erhan Bayraktar, Xin Zhang

Published 2021-02-18Version 1

In this paper, we show existence and uniqueness of solutions of the infinite horizon McKean-Vlasov FBSDEs using two different methods, which lead to two different sets of assumptions. We use these results to solve the infinite horizon mean field type control problems and mean field games.

Comments: Keywords: McKean-Vlasov FBSDE, infinite horizon, mean field game, mean field type control
Categories: math.OC, math.PR
Subjects: 91A16, 49N80
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