Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/62217
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorHuang, Jen_US
dc.creatorLi, Xen_US
dc.creatorWang, Ten_US
dc.date.accessioned2016-12-19T08:59:06Z-
dc.date.available2016-12-19T08:59:06Z-
dc.identifier.issn0018-9286en_US
dc.identifier.urihttp://hdl.handle.net/10397/62217-
dc.language.isoenen_US
dc.publisherInstitute of Electrical and Electronics Engineersen_US
dc.rights© 2015 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.en_US
dc.rightsThe following publication Huang, J., Li, X., & Wang, T. (2015). Mean-field linear-quadratic-Gaussian (LQG) games for stochastic integral systems. IEEE Transactions on Automatic Control, 61(9), 2670-2675 is available at https://doi.org/10.1109/TAC.2015.2506620en_US
dc.subjectControlled stochastic delay systemen_US
dc.subjectFredholm equationen_US
dc.subjectMean field LQG gamesen_US
dc.subjectStochastic Volterra equationen_US
dc.subjectϵ-Nash equilibriumen_US
dc.titleMean-field Linear-Quadratic-Gaussian (LQG) games for stochastic integral systemsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage2670en_US
dc.identifier.epage2675en_US
dc.identifier.volume61en_US
dc.identifier.issue9en_US
dc.identifier.doi10.1109/TAC.2015.2506620en_US
dcterms.abstractIn this technical note, we formulate and investigate a class of mean-field linear-quadratic-Gaussian (LQG) games for stochastic integral systems. Unlike other literature on mean-field games where the individual states follow the controlled stochastic differential equations (SDEs), the individual states in our large-population system are characterized by a class of stochastic Volterra-type integral equations. We obtain the Nash certainty equivalence (NCE) equation and hence derive the set of associated decentralized strategies. The ϵ-Nash equilibrium properties are also verified. Due to the intrinsic integral structure, the techniques and estimates applied here are significantly different from those existing results in mean-field LQG games for stochastic differential systems. For example, some Fredholm equation in the mean-field setup is introduced for the first time. As for applications, two types of stochastic delayed systems are formulated as the special cases of our stochastic integral system, and relevant mean-field LQG games are discussed.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationIEEE transactions on automatic control, Sept. 2016, v. 61, no. 9, p. 2670-2675en_US
dcterms.isPartOfIEEE transactions on automatic controlen_US
dcterms.issued2016-09-
dc.identifier.isiWOS:000382686800039-
dc.identifier.scopus2-s2.0-84984991435-
dc.identifier.ros2016000214-
dc.identifier.eissn1558-2523en_US
dc.identifier.rosgroupid2016000213-
dc.description.ros2016-2017 > Academic research: refereed > Publication in refereed journalen_US
dc.description.validate201804_a bcmaen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumberAMA-0559-
dc.description.fundingSourceRGCen_US
dc.description.fundingSourceOthersen_US
dc.description.fundingTextPolyUen_US
dc.description.pubStatusPublisheden_US
dc.identifier.OPUS6673602-
dc.description.oaCategoryGreen (AAM)en_US
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