Linear quadratic mean field game with control input constraint

Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/79608

Title:	Linear quadratic mean field game with control input constraint
Authors:	Hu, Y Huang, J Li, X
Issue Date:	Apr-2018
Source:	ESAIM. Control, optimisation and calculus of variations, Apr.-June 2018, v. 24, no. 2, p. 901-919
Abstract:	In this paper, we study a class of linear-quadratic (LQ) mean-field games in which the individual control process is constrained in a closed convex subset F of full space R-m. The decentralized strategies and consistency condition are represented by a class of mean-field forward-backward stochastic differential equation (MF-FBSDE) with projection operators on F. The wellposedness of consistency condition system is obtained using the monotonicity condition method. The related is an element of-Nash equilibrium property is also verified.
Keywords:	Is an element of-Nash equilibrium Mean-field forward-backward stochastic differential equation (MF-FBSDE) Linear quadratic constrained control Projection Monotonic condition
Publisher:	EDP Sciences
Journal:	ESAIM. Control, optimisation and calculus of variations
ISSN:	1292-8119
EISSN:	1262-3377
DOI:	10.1051/cocv/2017038
Rights:	© EDP Sciences, SMAI 2018 The original publication is available at https://www.esaim-cocv.org/. The following article: Hu, Y., Huang, J., & Li, X. (2018). Linear quadratic mean field game with control input constraint. ESAIM: Control, Optimisation and Calculus of Variations, 24(2), 901-919 is available at https://doi.org/10.1051/cocv/2017038.
Appears in Collections:	Journal/Magazine Article

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