English

Indefinite Linear-Quadratic Partially Observed Mean-Field Game

Optimization and Control 2025-08-05 v1

Abstract

This paper investigates an indefinite linear-quadratic partially observed mean-field game with common noise, incorporating both state-average and control-average effects. In our model, each agent's state is observed through both individual and public observations, which are modeled as general stochastic processes rather than Brownian motions. {It is noteworthy that} the weighting matrices in the cost functional are allowed to be indefinite. We derive the optimal decentralized strategies using the Hamiltonian approach and establish the well-posedness of the resulting Hamiltonian system by employing a relaxed compensator. The associated consistency condition and the feedback representation of decentralized strategies are also established. Furthermore, we demonstrate that the set of decentralized strategies form an ε\varepsilon-Nash equilibrium. As an application, we solve a mean-variance portfolio selection problem.

Keywords

Cite

@article{arxiv.2508.01568,
  title  = {Indefinite Linear-Quadratic Partially Observed Mean-Field Game},
  author = {Tian Chen and Tianyang Nie and Zhen Wu},
  journal= {arXiv preprint arXiv:2508.01568},
  year   = {2025}
}

Comments

26 pages, 2 figures

R2 v1 2026-07-01T04:31:29.289Z