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Probabilistic Theory of Mean Field Games with Applications I 1

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丛书名： Probability Theory and Stochastic Modelling

2018年

作者： René Carmona François Delarue

ISBN: (数字)9783319589206

ISBN: (纸本)9783319564371;9783030132606

Volume I of the book is entirely devoted to the theory of mean field games without a common noise. The first half of the volume provides a self-contained introduction to mean field games, starting from concrete illustrations of games with a finite number of players, and ending with ready-for-use solvability results. Readers are provided with the tools necessary for the solution of forward-backward stochastic differential equations of the McKean-Vlasov type at the core of the probabilistic approach. The second half of this volume focuses on the main principles of analysis on the Wasserstein space. It includes Lions' approach to the Wasserstein differential calculus, and the applications of its results to the analysis of stochastic mean field control problems.

关键词： Probability Theory Calculus of Variations and Optimization Differential Equations Quantitative Economics

Probabilistic Theory of Mean Field Games with Applications II 1

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丛书名： Probability Theory and Stochastic Modelling

1000年

作者： René Carmona François Delarue

ISBN: (数字)9783319564364

ISBN: (纸本)9783319564357;9783030132590

Together, both Volume I and Volume II will greatly benefit mathematical graduate students and researchers interested in mean field games. The authors provide a detailed road map through the book allowing different access points for different readers and building up the level of technical detail. The accessible approach and overview will allow interested researchers in the applied sciences to obtain a clear overview of the state of the art in mean field games.

关键词： Probability Theory and Stochastic Processes Calculus of Variations and Optimal Control Optimization Partial Differential Equations Economic Theory/Quantitative Economics/Mathematical Methods

GLOBAL SOLUTIONS TO THE SUPERCOOLED STEFAN PROBLEM WITH BLOW-UPS: REGULARITY AND UNIQUENESS

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Probability and Mathematical Physics

Probability and Mathematical Physics 2022年第1期3卷 171-213页

作者： Delarue, François Nadtochiy, Sergey Shkolnikov, Mykhaylo Laboratoire J.A.Dieudonné Université de Nice Sophia-Antipolis UMR CNRS-UNS No. 7351 Nice France Department of Applied Mathematics Illinois Institute of Technology Rettaliata Engineering Center Chicago IL United States ORFE Department Bendheim Center for Finance Program in Applied and Computational Mathematics Princeton University Princeton NJ United States

We consider the supercooled Stefan problem, which captures the freezing of a supercooled liquid, in one space dimension. A probabilistic reformulation of the problem allows us to define global solutions, even in the presence of blow-ups of the freezing rate. We provide a complete description of such solutions, by relating the temperature distribution in the liquid to the regularity of the ice growth process. The latter is shown to transition between (i) continuous differentiability, (ii) Hölder continuity, and (iii) discontinuity. In particular, in the second regime we rediscover the square root behavior of the growth process pointed out by Stefan in his seminal 1889 paper for the ordinary Stefan problem. In our second main theorem, we establish the uniqueness of the global solutions, a first result of this kind in the context of growth processes with singular self-excitation when blow-ups are present. © 2022 Mathematical Sciences Publishers.

关键词： blow-ups free boundary problem heat equation interacting particle systems mean-field interaction physical solutions probabilistic reformulation self-excitation supercooled Stefan problem zero set

A SINGULAR TWO-PHASE STEFAN PROBLEM AND PARTICLES INTERACTING THROUGH THEIR HITTING TIMES

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arXiv 2022年

作者： Baker, Graeme Shkolnikov, Mykhaylo Program in Applied & Computational Mathematics Princeton University PrincetonNJ08544 United States ORFE Department Bendheim Center for Finance and Program in Applied & Computational Mathematics Princeton University PrincetonNJ08544 United States

We consider a probabilistic formulation of a singular two-phase Stefan problem in one space dimension, which amounts to a coupled system of two McKean-Vlasov stochastic differential equations. In the financial context of systemic risk, this system models two competing regions with a large number of interconnected banks or firms at risk of default. Our main result shows the existence of a solution whose discontinuities obey the natural physicality condition for the problem at hand. Thus, this work extends the recent series of existence results for singular one-phase Stefan problems in one space dimension that can be found in [DIRT15a], [NS19a], [HLS18], [CRS20]. As therein, our existence result is obtained via a large system limit of a finite particle system approximation in the Skorokhod M1 topology. But, unlike for the previously studied one-phase case, the free boundary herein is not monotone, so that the large system limit is obtained by a novel *** Codes 82C22, 60H30, 35K10, 35K60, 91G80 Copyright © 2022, The Authors. All rights reserved.

关键词： Stochastic systems

ZERO KINETIC UNDERCOOLING LIMIT IN THE SUPERCOOLED STEFAN PROBLEM

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arXiv 2020年

作者： Baker, Graeme Shkolnikov, Mykhaylo Program in Applied & Computational Mathematics Princeton University PrincetonNJ08544 United States ORFE Department Bendheim Center for Finance Program in Applied & Computational Mathematics Princeton University PrincetonNJ08544 United States

We study the solutions of the one-phase supercooled Stefan problem with kinetic undercooling, which describes the freezing of a supercooled liquid, in one spatial dimension. Assuming that the initial temperature lies between the equilibrium freezing point and the characteristic invariant temperature throughout the liquid our main theorem shows that, as the kinetic undercooling parameter tends to zero, the free boundary converges to the (possibly irregular) free boundary in the supercooled Stefan problem without kinetic undercooling, whose uniqueness has been recently established in [DNS19], [LS18b]. The key tools in the proof are a Feynman-Kac formula, which expresses the free boundary in the problem with kinetic undercooling through a local time of a reflected process, and a resulting comparison principle for the free boundaries with different kinetic undercooling *** Codes 80A22, 35B44, 60H30 Copyright © 2020, The Authors. All rights reserved.

关键词： Supercooling

WELL-POSEDNESS OF THE SUPERCOOLED STEFAN PROBLEM WITH OSCILLATORY INITIAL CONDITIONS

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arXiv 2023年

作者： Mustapha, Scander Shkolnikov, Mykhaylo Program in Applied & Computational Mathematics Princeton University PrincetonNJ08544 United States ORFE Department Bendheim Center for Finance and Program in Applied & Computational Mathematics Princeton University PrincetonNJ08544 United States

We study the one-phase one-dimensional supercooled Stefan problem with oscillatory initial conditions. In this context, the global existence of so-called physical solutions has been shown recently in [CRSF23], despite the presence of blow-ups in the freezing rate. On the other hand, for regular initial conditions, the uniqueness of physical solutions has been established in [DNS22]. Here, we prove the uniqueness of physical solutions for oscillatory initial conditions by a new contraction argument that replaces the local monotonicity condition of [DNS22] by an averaging condition. We verify this weaker condition for fairly general oscillating probability densities, such as the ones given by an almost sure trajectory of (1 + Wx - √2x| log | log x||)+ ^ 1 near the origin, where W is a standard Brownian motion. We also permit typical deterministically constructed oscillating densities, including those of the form (1 + sin 1/x)/2 near the origin. Finally, we provide an example of oscillating densities for which it is possible to go beyond our main assumption via further complementary *** Codes 80A22, 35B05, 60H30 Copyright © 2023, The Authors. All rights reserved.

关键词： Brownian movement

STEFAN PROBLEM WITH SURFACE TENSION: GLOBAL EXISTENCE OF PHYSICAL SOLUTIONS UNDER RADIAL SYMMETRY

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arXiv 2022年

作者： Nadtochiy, Sergey Shkolnikov, Mykhaylo Department of Applied Mathematics Illinois Institute of Technology ChicagoIL60616 United States ORFE Department Bendheim Center for Finance Program in Applied & Computational Mathematics Princeton University Princeton NJ08544 United States

We consider the Stefan problem with surface tension, also known as the Stefan-Gibbs-Thomson problem, in an ambient space of arbitrary dimension. Assuming the radial symmetry of the initial data we introduce a novel "probabilistic" notion of solution, which can accommodate the discontinuities in time (of the radius) of the evolving aggregate. Our main result establishes the global existence of a probabilistic solution satisfying the natural upper bound on the sizes of the discontinuities. Moreover, we prove that the upper bound is sharp in dimensions d ⩾ 3, in the sense that none of the discontinuities in the solution can be decreased in magnitude. The detailed analysis of the discontinuities, via appropriate stochastic representations, differentiates this work from the previous literature on weak solutions to the Stefan problem with surface *** Codes 80A22, 60H30, 35B44 Copyright © 2022, The Authors. All rights reserved.

关键词： Surface tension

STEFAN PROBLEM WITH SURFACE TENSION: UNIQUENESS OF PHYSICAL SOLUTIONS UNDER RADIAL SYMMETRY

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arXiv 2023年

作者： Guo, Yucheng Nadtochiy, Sergey Shkolnikov, Mykhaylo Department of Applied Mathematics Illinois Institute of Technology ChicagoIL60616 United States ORFE Department Bendheim Center for Finance Program in Applied & Computational Mathematics Princeton University PrincetonNJ08544 United States

We study the Stefan problem with surface tension and radially symmetric initial data. In this context, the notion of a so-called physical solution, which exists globally despite the inherent blow-ups of the melting rate, has been recently introduced in [NS23]. The paper at hand is devoted to the proof that the physical solution is unique, the first such result when the free boundary is not flat, or when two phases are present. The main argument relies on a detailed analysis of the hitting probabilities for a three-dimensional Brownian motion, as well as on a novel convexity property of the free boundary obtained by comparison techniques. In the course of the proof, we establish a wide variety of regularity estimates for the free boundary and for the temperature function, of interest in their own *** Codes 80A22, 35B44, 60H30, 35B05 Copyright © 2023, The Authors. All rights reserved.

关键词： Surface tension

Scaling limits of external multi-particle DLA on the plane and the supercooled stefan problem

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arXiv 2021年

作者： Nadtochiy, Sergey Shkolnikov, Mykhaylo Zhang, Xiling Department of Applied Mathematics Illinois Institute of Technology ChicagoIL60616 United States ORFE Department Bendheim Center for Finance Program in Applied & Computational Mathematics Princeton University PrincetonNJ08544 United States

We consider (a variant of) the external multi-particle diffusion-limited aggregation (MDLA) process of Rosenstock and Marquardt on the plane. Based on the recent findings of [11], [10] in one space dimension it is natural to conjecture that the scaling limit of the growing aggregate in such a model is given by the growing solid phase in a suitable "probabilistic" formulation of the single-phase supercooled Stefan problem for the heat equation. To address this conjecture, we extend the probabilistic formulation from [10] to multiple space dimensions. We then show that the equation that characterizes the growth rate of the solid phase in the supercooled Stefan problem is satisfied by the scaling limit of the external MDLA process with an inequality, which can be strict in general. In the course of the proof, we establish two additional results interesting in their own right: (i) the stability of a "crossing property" of planar Brownian motion and (ii) a rigorous connection between the probabilistic solutions to the supercooled Stefan problem and its classical and weak *** Codes 82C22, 80A22, 60H30 Copyright © 2021, The Authors. All rights reserved.

关键词： Supercooling