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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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