Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/93900
Title: | Mean field game for linear–quadratic stochastic recursive systems | Authors: | Zhang, L Li, X |
Issue Date: | Dec-2019 | Source: | Systems and control letters, Dec. 2019, v. 134, 104544 | Abstract: | 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 ϵ-Nash equilibrium property is discussed as well. | Keywords: | Linear–quadratic constrained control Mean-field forward–backward stochastic differential equation (MF-FBSDE) Monotonic condition Projection ϵ-Nash equilibrium |
Publisher: | Elsevier | Journal: | Systems and control letters | ISSN: | 0167-6911 | DOI: | 10.1016/j.sysconle.2019.104544 | Rights: | © 2019 Elsevier B.V. All rights reserved. © 2019. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ The following publication Zhang, L., & Li, X. (2019). Mean field game for linear–quadratic stochastic recursive systems. Systems & Control Letters, 134, 104544 is available at https://doi.org/10.1016/j.sysconle.2019.104544 |
Appears in Collections: | Journal/Magazine Article |
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Li_Mean_Field_Game.pdf | Pre-Published version | 1.02 MB | Adobe PDF | View/Open |
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