Mean field game for linear–quadratic stochastic recursive systems

Liangquan Zhang; Xun Li

doi:10.1016/j.sysconle.2019.104544

Mean field game for linear–quadratic stochastic recursive systems

Liangquan Zhang, Xun Li

Research output: Journal article publication › Journal article › Academic research › peer-review

4 Citations (Scopus)

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.

Original language	English
Article number	104544
Pages (from-to)	1-12
Number of pages	12
Journal	Systems and Control Letters
Volume	134
DOIs	https://doi.org/10.1016/j.sysconle.2019.104544
Publication status	Published - Dec 2019

Keywords

Linear–quadratic constrained control
Mean-field forward–backward stochastic differential equation (MF-FBSDE)
Monotonic condition
Projection
ϵ-Nash equilibrium

ASJC Scopus subject areas

Control and Systems Engineering
General Computer Science
Mechanical Engineering
Electrical and Electronic Engineering

More information

10.1016/j.sysconle.2019.104544

http://hdl.handle.net/10397/93900

Cite this

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AU - Li, Xun

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AB - 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.

KW - Linear–quadratic constrained control

KW - Mean-field forward–backward stochastic differential equation (MF-FBSDE)

KW - Monotonic condition

KW - Projection

KW - ϵ-Nash equilibrium

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JF - Systems and Control Letters

M1 - 104544

ER -

Mean field game for linear–quadratic stochastic recursive systems

Abstract

Keywords

ASJC Scopus subject areas

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