Mean field game for linear–quadratic stochastic recursive systems
Copyright policy )Mean field game for linear–quadratic stochastic recursive systems
This paper focuses on linear-quadratic (LQ for short) mean-field games described by forward-backward stochastic differential equations (FBSDEs for short), in which the individual control region is postulated to be convex. The decentralized strategies and consistency condition are represented by a kind of coupled mean-field FBSDEs with projection operators. The well-posedness of consistency condition system is obtained using the monotonicity condition method. The $��$-Nash equilibrium property is discussed as well.
- Hong Kong Polytechnic University China (People's Republic of)
- Hong Kong Polytechnic University (香港理工大學) China (People's Republic of)
- Hong Kong Polytechnic University (香港理工大學) Hong Kong
- Beijing University of Posts and Telecommunications China (People's Republic of)
Mean-field forward–backward stochastic differential equation (MF-FBSDE), mean-field forward-backward stochastic differential equation (MF-FBSDE), projection, ϵ-Nash equilibrium, monotonic condition, 004, Stochastic ordinary differential equations (aspects of stochastic analysis), Linear–quadratic constrained control, Stochastic games, stochastic differential games, Optimization and Control (math.OC), Linear-quadratic optimal control problems, FOS: Mathematics, \(\epsilon\)-Nash equilibrium, Monotonic condition, Projection, Stochastic systems in control theory (general), Differential games (aspects of game theory), Mathematics - Optimization and Control, Control/observation systems governed by ordinary differential equations, linear-quadratic constrained control
Mean-field forward–backward stochastic differential equation (MF-FBSDE), mean-field forward-backward stochastic differential equation (MF-FBSDE), projection, ϵ-Nash equilibrium, monotonic condition, 004, Stochastic ordinary differential equations (aspects of stochastic analysis), Linear–quadratic constrained control, Stochastic games, stochastic differential games, Optimization and Control (math.OC), Linear-quadratic optimal control problems, FOS: Mathematics, \(\epsilon\)-Nash equilibrium, Monotonic condition, Projection, Stochastic systems in control theory (general), Differential games (aspects of game theory), Mathematics - Optimization and Control, Control/observation systems governed by ordinary differential equations, linear-quadratic constrained control
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