Mean Field Game for Linear Quadratic Stochastic Recursive Systems
Optimization and Control
2021-04-09 v1
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 -Nash equilibrium property is discussed as well.
Cite
@article{arxiv.1908.05063,
title = {Mean Field Game for Linear Quadratic Stochastic Recursive Systems},
author = {Liangquan Zhang and Xun Li},
journal= {arXiv preprint arXiv:1908.05063},
year = {2021}
}