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Daniel Lacker
Daniel Lacker
Adresse e-mail validée de columbia.edu - Page d'accueil
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Mean field games with common noise
R Carmona, F Delarue, D Lacker
2992016
A probabilistic weak formulation of mean field games and applications
R Carmona, D Lacker
2272015
A general characterization of the mean field limit for stochastic differential games
D Lacker
Probability Theory and Related Fields 165, 581-648, 2016
2142016
Mean field games via controlled martingale problems: existence of Markovian equilibria
D Lacker
Stochastic Processes and their Applications 125 (7), 2856-2894, 2015
1692015
Limit theory for controlled McKean--Vlasov dynamics
D Lacker
SIAM Journal on Control and Optimization 55 (3), 1641-1672, 2017
1602017
Mean field and n‐agent games for optimal investment under relative performance criteria
D Lacker, T Zariphopoulou
Mathematical Finance 29 (4), 1003-1038, 2019
1372019
On the convergence of closed-loop Nash equilibria to the mean field game limit
D Lacker
The Annals of Applied Probability 30 (4), 1693-1761, 2020
1362020
On a strong form of propagation of chaos for McKean-Vlasov equations
D Lacker
1152018
From the master equation to mean field game limit theory: a central limit theorem
F Delarue, D Lacker, K Ramanan
1032019
Mean field games of timing and models for bank runs
R Carmona, F Delarue, D Lacker
Applied Mathematics & Optimization 76, 217-260, 2017
902017
FROM THE MASTER EQUATION TO MEAN FIELD GAME LIMIT THEORY
F Delarue, D Lacker, K Ramanan
The Annals of Probability 48 (1), 211-263, 2020
882020
Hierarchies, entropy, and quantitative propagation of chaos for mean field diffusions
D Lacker
Probability and Mathematical Physics 4 (2), 377-432, 2023
772023
Many-player games of optimal consumption and investment under relative performance criteria
D Lacker, A Soret
Mathematics and Financial Economics 14 (2), 263-281, 2020
582020
Mean field games and interacting particle systems
D Lacker
preprint, 2018
482018
Sharp uniform-in-time propagation of chaos
D Lacker, L Le Flem
Probability Theory and Related Fields 187 (1-2), 443-480, 2023
392023
A case study on stochastic games on large graphs in mean field and sparse regimes
D Lacker, A Soret
Mathematics of Operations Research 47 (2), 1530-1565, 2022
382022
Translation invariant mean field games with common noise
D Lacker, K Webster
382015
Closed-loop convergence for mean field games with common noise
D Lacker, L Le Flem
The Annals of Applied Probability 33 (4), 2681-2733, 2023
342023
Superposition and mimicking theorems for conditional McKean–Vlasov equations
D Lacker, M Shkolnikov, J Zhang
Journal of the European Mathematical Society 25 (8), 3229-3288, 2022
342022
Liquidity, risk measures, and concentration of measure
D Lacker
Mathematics of Operations Research 43 (3), 813-837, 2018
342018
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