Indefinite Linear-Quadratic Partially Observed Mean-Field Game
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 -Nash equilibrium. As an application, we solve a mean-variance portfolio selection problem.
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