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

Published 18 Feb 2021 in math.OC and math.PR | (2102.09619v2)

Abstract: 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.

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