Probabilistic Theory of Mean Field Games with Applications II: Mean Field Games with Common Noise and Master Equations

This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions.

Volume II tackles the analysis of mean field games in which the players are affected by a common source of noise. The first part of the volume introduces and studies the concepts of weak and strong equilibria, ...