Related papers: Linear-Quadratic Mean-Field Game for Stochastic Sy…
This paper studies asymptotic solvability of a linear quadratic (LQ) mean field social optimization problem with controlled diffusions and indefinite state and control weights. Starting with an $N$-agent model, we employ a rescaling…
This paper investigates a mean-field linear-quadratic optimal control problem where the state dynamics and cost functional incorporate both expectation and conditional expectation terms. We explicitly derive the pre-committed, na\"{\i}ve,…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
This paper studies uniform stabilization and social optimality for linear quadratic (LQ) mean field control problems with multiplicative noise, where agents are coupled via dynamics and individual costs. The state and control weights in…
A decentralized linear quadratic system with a major agent and a collection of minor agents is considered. The major agent affects the minor agents, but not vice versa. The state of the major agent is observed by all agents. In addition,…
This paper examines mean field linear-quadratic-Gaussian (LQG) social optimum control with volatility-uncertain common noise. The diffusion terms in the dynamics of agents contain an unknown volatility process driven by a common noise. We…
This paper studies mean field games for multi-agent systems with control-dependent multiplicative noises. For the general systems with nonuniform agents, we obtain a set of decentralized strategies by solving an auxiliary limiting optimal…
A linear quadratic (LQ) stochastic optimization system involving large population, which is driven by forward-backward stochastic differential equation (FBSDE), is investigated in this paper. Agents cooperate with each other to minimize the…
This paper is concerned with the partial information optimal control problem of mean-field type under partial observation, where the system is given by a controlled mean-field forward-backward stochastic differential equation with…
This paper is concerned with a new class of mean-field games which involve a finite number of agents. Necessary and sufficient conditions are obtained for the existence of the decentralized open-loop Nash equilibrium in terms of…
The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the…
We consider a class of dynamic collective choice models with social interactions, whereby a large number of non-uniform agents have to individually settle on one of multiple discrete alternative choices, with the relevance of their would-be…
Decentralized stochastic control (DSC) considers the optimal control problem of a multi-agent system. However, DSC cannot be solved except in the special cases because the estimation among the agents is generally intractable. In this work,…
This paper studies a new class of linear-quadratic mean field games and teams problem, where the large-population system satisfies a class of $N$ weakly coupled linear backward stochastic differential equations (BSDEs), and $z_i$ (a part of…
This paper considers a class of mean field linear-quadratic-Gaussian (LQG) games with model uncertainty. The drift term in the dynamics of the agents contains a common unknown function. We take a robust optimization approach where a…
We consider a controlled linear-quadratic (LQ) large-population system with mixture of three types agents: major leader, minor leaders and minor followers. The Stackelberg-Nash-Cournot (SNC) approximate equilibrium is studied by a…
Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players…
This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…
This paper is concerned with a kind of linear-quadratic (LQ, for short) two-person zero-sum stochastic differential game problems with partial observation. We propose the notions of explicit and implicit feedback laws under partial…
This paper investigates the social optimality of linear quadratic mean field control systems with unmodeled dynamics. The objective of agents is to optimize the social cost, which is the sum of costs of all agents. By variational analysis…