Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/62217
DC FieldValueLanguage
dc.contributorDepartment of Applied Mathematics-
dc.creatorHuang, J-
dc.creatorLi, X-
dc.creatorWang, T-
dc.date.accessioned2016-12-19T08:59:06Z-
dc.date.available2016-12-19T08:59:06Z-
dc.identifier.issn0018-9286-
dc.identifier.urihttp://hdl.handle.net/10397/62217-
dc.language.isoenen_US
dc.publisherInstitute of Electrical and Electronics Engineersen_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.spage2670-
dc.identifier.epage2675-
dc.identifier.volume61-
dc.identifier.issue9-
dc.identifier.doi10.1109/TAC.2015.2506620-
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.-
dcterms.bibliographicCitationIEEE transactions on automatic control, 2016, v. 61, no. 9, 7349148, p. 2670-2675-
dcterms.isPartOfIEEE transactions on automatic control-
dcterms.issued2016-
dc.identifier.isiWOS:000382686800039-
dc.identifier.scopus2-s2.0-84984991435-
dc.identifier.ros2016000214-
dc.identifier.eissn1558-2523-
dc.identifier.rosgroupid2016000213-
dc.description.ros2016-2017 > Academic research: refereed > Publication in refereed journal-
dc.description.validate201804_a bcma-
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