Pierre-Louis Lions

This book describes the latest advances in the theory of mean field games, which are optimal control problems with a continuum of players, each of them interacting with the whole statistical distribution of a population. While it originated in economics, this theory now has applications in areas as diverse as mathematical finance, crowd phenomena, epidemiology, and cybersecurity. Because mean field games concern the interactions of infinitely many players in an optimal control framework, one expects them to appear as the limit for Nash equilibria of differential games with finitely many players as the number of players tends to infinity. This book rigorously establishes this convergence, which has been an open problem until now. The limit of the system associated with differential games with finitely many players is described by the so-called master equation, a nonlocal transport equation in the space of measures. After defining a suitable notion of differentiability in the space of measures, the authors provide a complete self-contained analysis of the master equation. Their analysis includes the case of common noise problems in which all the players are affected by a common Brownian motion. They then go on to explain how to use the master equation to prove the mean field limit. This groundbreaking book presents two important new results in mean field games that contribute to a unified theoretical framework for this exciting and fast-developing area of mathematics.

This book describes the latest advances in the theory of mean field games, which are optimal control problems with a continuum of players, each of them interacting with the whole statistical distribution of a population. While it originated in economics, this theory now has applications in areas as diverse as mathematical finance, crowd phenomena, epidemiology, and cybersecurity. Because mean field games concern the interactions of infinitely many players in an optimal control framework, one expects them to appear as the limit for Nash equilibria of differential games with finitely many players as the number of players tends to infinity. This book rigorously establishes this convergence, which has been an open problem until now. The limit of the system associated with differential games with finitely many players is described by the so-called master equation, a nonlocal transport equation in the space of measures. After defining a suitable notion of differentiability in the space of measures, the authors provide a complete self-contained analysis of the master equation. Their analysis includes the case of common noise problems in which all the players are affected by a common Brownian motion. They then go on to explain how to use the master equation to prove the mean field limit. This groundbreaking book presents two important new results in mean field games that contribute to a unified theoretical framework for this exciting and fast-developing area of mathematics.

This is the third volume in "The Paris-Princeton Lectures in Financial Mathematics", which publishes, on an annual basis, cutting-edge research in self-contained, expository articles from outstanding specialists, both established and upcoming. Coverage includes articles by Rene Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyen Pham.

This book studies the existence and uniqueness of solutions to parabolic-type equations with irregular coefficients and/or initial conditions. It elaborates on the DiPerna-Lions theory of renormalized solutions to linear transport equations and related equations, and also examines the connection between the results on the partial differential equation and the well-posedness of the underlying stochastic/ordinary differential equation.

This second volume works with the first to form a unique and rigorous treatise on various mathematical aspects of fluid mechanics models. These models consist of systems of nonlinear partial differential equations such as the incompressible and compressible NavierStokes equations. The main emphasis in the first volume is on the mathematical analysis of incompressible models. The second volume is an attempt to achieve a mathematical understanding of compressible Navier-Stokes equations. It is probably the first reference covering the issue of global solutions in the large. It includes unique material on compactness properties of solutions for the Cauchy problem, the existence and regularity of stationary solutions, and the existence of global weak solutions. Written by one of the world's leading researchers in nonlinear partial differential equations, Mathematical Topics in Fluid Mechanics will be an indispensable reference for every serious researcher in the field. Its topicality and the clear, concise, and deep presentation by the author make it an outstanding contribution to the great theoretical problems in science concerning rigorous mathematical modelling of physical phenomena.

One of the most challenging topics in applied mathematics over the past decades has been the developent of the theory of nonlinear partial differential equations. Many of the problems in mechanics, geometry, probability, etc lead to such equations when formulated in mathematical terms. However, despite a long history of contributions, there exists no central core theory, and the most important advances have come from the study of particular equations and classes of equations arising in specific applications. This two volume work forms a unique and rigorous treatise on various mathematical aspects of fluid mechanics models. These models consist of systems of nonlinear partial differential equations like the incompressible and compressible Navier-Stokes equations. The main emphasis in Volume 1 is on the mathematical analysis of incompressible models. After recalling the fundamental description of Newtonian fluids, an original and self-contained study of both the classical Navier-Stokes equations (including the inhomogenous case) and the Euler equations is given. Known results and many new results about the existence and regularity of solutions are presented with complete proofs. The discussion contains many interesting insights and remarks. The text highlights in particular the use of modern analytical tools and methods and also indicates many open problems. Volume 2 will be devoted to essentially new results for compressible models. Written by one of the world's leading researchers in nonlinear partial differential equations, Mathematical Topics in Fluid Mechanics will be an indispensable reference for every serious researcher in the field. Its topicality and the clear, concise, and deep presentation by the author make it an outstanding contribution to the great theoretical problems in science concerning rigorous mathematical modelling of physical phenomena.

The Paris-Princeton Lectures in Financial Mathematics, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the field. The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with five articles by: 1. Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, 2. Stéphane Crépey, 3. Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, 4. David Hobson and 5. Peter Tankov.

The thermodynamic limit is a mathematical technique which allows us to consider crystals (or other macroscopic objects) as infinitely sized periodically arranged molecules. This means that we can derive models in solid state physics from models in quantum chemistry. Based on this technique, the book presents established as well as new mathematical results for a large class of models in quantum chemistry.

This series of books forms a unique and rigorous treatise on various mathematical aspects of fluid mechanics models. These models consist of systems of nonlinear partial differential equations such as the incompressible and compressible NavierStokes equations. The main emphasis in the first volume is on the mathematical analysis of incompressible models. The second volume is an attempt to achieve a mathematical understanding of compressible Navier-Stokes equations. It is probably the first reference covering the issue of global solutions in the large. It includes entirely new material on compactness properties of solutions for the Cauchy problem, the existence and regularity of stationary solutions, and the existence of global weak solutions. Written by one of the world's leading researchers in nonlinear partial differential equations, Mathematical Topics in Fluid Mechanics will be an indispensable reference for every serious researcher in the field. Its topicality and the clear, concise, and deep presentation by the author make it an outstanding contribution to the great theoretical problems in science concerning rigorous mathematical modelling of physical phenomena. Pierre-Louis Lions is Professor of Mathematics at the University Paris-Dauphine and of Applied Mathematics at the Ecole Polytechnique.

One of the most challenging topics in applied mathematics over the past decades has been the developent of the theory of nonlinear partial differential equations. Many of the problems in mechanics, geometry, probability, etc lead to such equations when formulated in mathematical terms. However, despite a long history of contributions, there exists no central core theory, and the most important advances have come from the study of particular equations and classes of equations arising in specific applications. This two volume work forms a unique and rigorous treatise on various mathematical aspects of fluid mechanics models. These models consist of systems of nonlinear partial differential equations like the incompressible and compressible Navier-Stokes equations. The main emphasis in Volume 1 is on the mathematical analysis of incompressible models. After recalling the fundamental description of Newtonian fluids, an original and self-contained study of both the classical Navier-Stokes equations (including the inhomogenous case) and the Euler equations is given. Known results and many new results about the existence and regularity of solutions are presented with complete proofs. The discussion contiatns many interesting insights and remarks. The text highlights in particular the use of modern analytical tools and methods and also indicates many open problems. Volume 2 will be devoted to essentially new results for compressible models. Written by one of the world's leading researchers in nonlinear partial differential equations, Mathematical Topics in Fluid Mechanics will be an indispensable reference for every serious researcher in the field. Its topicality and the clear, concise, and deep presentation by the author make it an outstanding contribution to the great theoretical problems in science concerning rigorous mathematical modelling of physical phenomena. Pierre-Louis Lions is Professor of Mathematics at the University of Paris-Dauphine and of Applied Mathematics at the Ecole Polytechnique.