Abstract
We consider the dynamic optimization of large-population system with partial information. The associated mean-field game is formulated, and its consistency condition is equivalent to the wellposedness of some Riccati equation system. The limiting state-average is represented by a mean-field stochastic differential equation driven by the common Brownian motion. The decentralized strategies with partial information are obtained, and the approximate Nash equilibrium is verified.
Original language | English |
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Pages (from-to) | 231-245 |
Number of pages | 15 |
Journal | Journal of Optimization Theory and Applications |
Volume | 168 |
Issue number | 1 |
DOIs | |
Publication status | Published - 1 Jan 2016 |
Keywords
- Dynamic optimization
- Forward–backward stochastic differential equation
- Large-population system
- Mean-field game
- Partial information
ASJC Scopus subject areas
- Control and Optimization
- Management Science and Operations Research
- Applied Mathematics