Paris-Princeton Lectures on Mathematical Finance 2010

Volume 2003 of the series Lecture Notes in Mathematics pp 205-266

Mean Field Games and Applications

  • Olivier GuéantAffiliated withUFR de Mathématiques, Université Paris-Diderot Email author 
  • , Jean-Michel LasryAffiliated withInstitut de Finance, Université Paris-Dauphine, Place du Maréchal de Lattre de Tassigny
  • , Pierre-Louis LionsAffiliated withCollège de France

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This text is inspired from a “Cours Bachelier” held in January 2009 and taught by Jean-Michel Lasry. This course was based upon the articles of the three authors and upon unpublished materials they developed. Proofs were not presented during the conferences and are now available. So are some issues that were only rapidly tackled during class.