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In this paper, we study a class of linear-quadratic (LQ) mean-field games in which the individual control process is constrained in a closed convex subset $\Gamma$ of full space $\mathbb{R}^m$. The decentralized strategies and consistency…

Optimization and Control · Mathematics 2016-10-20 Ying Hu , Huang Jianhui , Xun Li

We study a general linear quadratic mean field type control problem and connect it to mean field games of a similar type. The solution is given both in terms of a forward/backward system of stochastic differential equations and by a pair of…

Optimization and Control · Mathematics 2016-07-08 P. Jameson Graber

We consider a class of linear-quadratic-Gaussian mean-field games with a major agent and considerable heterogeneous minor agents in the presence of mean-field interactions. The individual admissible controls are constrained in closed convex…

Optimization and Control · Mathematics 2017-10-10 Ying Hu , Jianhui Huang , Tianyang Nie

In this paper, we consider a class of linear quadratic extended mean field games (MFGs) with common noises where the state coefficients and the cost functional vary with the mean field term in a nonlinear way. Based on stochastic maximum…

Optimization and Control · Mathematics 2023-11-08 Tianjiao Hua , Peng Luo

In this note, we study a class of deterministic finite-horizon linear-quadratic difference games with coupled affine inequality constraints involving both state and control variables. We show that the necessary conditions for the existence…

Optimization and Control · Mathematics 2025-10-06 Partha Sarathi Mohapatra , Puduru Viswanadha Reddy

This paper studies a class of linear quadratic mean field games where the coefficients of quadratic cost functions depend on both the mean and the variance of the population's state distribution through its quantile function. Such a…

Optimization and Control · Mathematics 2024-11-05 Shuang Gao , Roland P. Malhamé

In this paper we study a class of matrix-valued linear-quadratic mean-field-type games for both the risk-neutral, risk-sensitive and robust cases. Non-cooperation, full cooperation and adversarial between teams are treated. We provide a…

Optimization and Control · Mathematics 2019-06-06 Julian Barreiro-Gomez , Tyrone E. Duncan , Hamidou Tembine

While the topic of mean-field games (MFGs) has a relatively long history, heretofore there has been limited work concerning algorithms for the computation of equilibrium control policies. In this paper, we develop a computable policy…

Systems and Control · Electrical Eng. & Systems 2020-04-07 Muhammad Aneeq uz Zaman , Kaiqing Zhang , Erik Miehling , Tamer Başar

In this article, we provide a comprehensive study of the linear-quadratic mean field games via the adjoint equation approach; although the problem has been considered in the literature by Huang, Caines and Malhame (HCM, 2007a), their method…

Optimization and Control · Mathematics 2014-04-24 Alain Bensoussan , Joseph Sung , Phillip Yam , Siu Pang Yung

In this paper, we address an instance of uniquely solvable mean-field game with a common noise whose corresponding counterpart without common noise has several equilibria. We study the selection problem for this mean-field game without…

Probability · Mathematics 2018-08-29 François Delarue , Rinel Foguen Tchuendom

In this paper, we first address a linear quadratic mean-field game problem with a leader-follower structure. By adopting a Riccati-type approach, we show how one can obtain a state-feedback representation of the pairs of strategies which…

Systems and Control · Electrical Eng. & Systems 2023-02-21 Samir Aberkane , Vasile Dragan

This paper represents the first attempt to develop a theory for linear-quadratic mean field games in possibly infinite dimensional Hilbert spaces. As a starting point, we study the case, considered in most finite dimensional contributions…

Optimization and Control · Mathematics 2025-02-04 Salvatore Federico , Fausto Gozzi , Daria Ghilli

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…

Optimization and Control · Mathematics 2025-08-05 Tian Chen , Tianyang Nie , Zhen Wu

This paper considers linear quadratic (LQ) mean field games with a major player and analyzes an asymptotic solvability problem. It starts with a large-scale system of coupled dynamic programming equations and applies a re-scaling technique…

Optimization and Control · Mathematics 2019-09-04 Yan Ma , Minyi Huang

We consider mean field games with discrete state spaces (called discrete mean field games in the following) and we analyze these games in continuous and discrete time, over finite as well as infinite time horizons. We prove the existence of…

Optimization and Control · Mathematics 2019-09-04 Josu Doncel , Nicolas Gast , Bruno Gaujal

Mean-field theory has been extensively explored in decision analysis of {large-scale} (LS) systems but traditionally in ``pure" cooperative or competitive settings. This leads to the so-called mean-field game (MG) or mean-field team (MT).…

Optimization and Control · Mathematics 2023-06-30 Huang Jianhui , Qiu Zhenghong , Wang Shujun , Wu Zhen

We provide a thorough study of a general class of linear-quadratic extended mean field games and control problems in any dimensions where the mean field terms are allowed to be unbounded and there are also presence of cross terms in the…

Optimization and Control · Mathematics 2023-11-10 Alain Bensoussan , Bohan Li , Sheung Chi Phillip Yam

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…

Optimization and Control · Mathematics 2021-04-09 Liangquan Zhang , Xun Li

This paper investigates a linear-quadratic mean field games problem with common noise, where the drift term and diffusion term of individual state equations are coupled with both the state, control, and mean field terms of the state, and we…

Optimization and Control · Mathematics 2025-08-12 Wenyu Cong , Jingtao Shi , Bingchang Wang

We develop a model based on mean-field games of competitive firms producing similar goods according to a standard AK model with a depreciation rate of capital generating pollution as a byproduct. Our analysis focuses on the widely-used…

Mathematical Finance · Quantitative Finance 2024-07-18 Gianmarco Del Sarto , Marta Leocata , Giulia Livieri
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