Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/81166
Title: Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints
Authors: Hu, Y
Huang, J 
Nie, T
Keywords: Forward-backward stochastic differential equation
Input constraint
Linear-quadratic mixed mean-field games
Projection operator
Ε-Nash equilibrium
Issue Date: 2018
Publisher: Society for Industrial and Applied Mathematics
Source: SIAM journal on control and optimization, 2018, v. 56, no. 4, p. 2835-2877 How to cite?
Journal: SIAM journal on control and optimization 
Abstract: We consider a class of linear-quadratic-Gaussian mean-field games having a major agent and numerous heterogeneous minor agents in the presence of mean-field interactions. The individual admissible controls are constrained in closed convex subsets Γ k of R m . The decentralized strategies of individual agents and the consistency condition system are represented in a unified manner through a class of mean-field forward-backward stochastic differential equations involving projection operators on Γ k . The well-posedness of the consistency system is established in both the local and global cases through the contraction mapping and discounting methods, respectively. A related ε-Nash-equilibrium property is also verified.
URI: http://hdl.handle.net/10397/81166
ISSN: 0363-0129
EISSN: 1095-7138
DOI: 10.1137/17M1151420
Rights: © 2018 Society for Industrial and Applied Mathematics.
First Published in SIAM Journal on Control and Optimization in Volume 56, Issue 4, published by the Society for Industrial and Applied Mathematics (SIAM)
The following publication Hu, Y., Huang, J., & Nie, T. (2018). Linear-Quadratic-Gaussian Mixed Mean-field Games with Heterogeneous Input Constraints. SIAM Journal on Control and Optimization, 56(4), 2835-2877 is available at https://doi.org/10.1137/17M1151420
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