相关论文: Linear Quadratic Mean Field Game with Control Inpu…

In this paper, we address linear-quadratic-Gaussian (LQG) risk-sensitive mean field games (MFGs) with common noise. In this framework agents are exposed to a common noise and aim to minimize an exponential cost functional that reflects…

This paper investigates an inhomogeneous non-zero-sum linear-quadratic (LQ, for short) differential game problem whose state process and cost functional are regulated by a Markov chain. Under the $L^2$ stabilizability framework, we first…

We study a class of linear-quadratic stochastic differential games in which each player interacts directly only with its nearest neighbors in a given graph. We find a semi-explicit Markovian equilibrium for any transitive graph, in terms of…

We consider two classes of constrained finite state-action stochastic games. First, we consider a two player nonzero sum single controller constrained stochastic game with both average and discounted cost criterion. We consider the same…

In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…

In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an It\^o diffusion via one-sided singular stochastic control, aiming to…

In this article, we consider mean field games between a dominating player and a group of representative agents, each of which acts similarly and also interacts with each other through a mean field term being substantially influenced by the…

We study the existence of classical solutions to a broad class of local, first order, forward-backward Extended Mean Field Games systems, that includes standard Mean Field Games, Mean Field Games with congestion, and mean field type control…

In this paper, we study deterministic mean field games for agents who operate in a bounded domain. In this case, the existence and uniqueness of Nash equilibria cannot be deduced as for unrestricted state space because, for a large set of…

This paper investigates a class of mixed stochastic linear-quadratic-Gaussian (LQG) social optimization and Nash game in the context of a large scale system. Two types of interactive agents are involved: a major agent and a large number of…

We consider a class of extended mean field games with common noises, where there exists a strictly terminal constraint. We solve the problem by reducing it to an unconstrained control problem by adding a penalized term in the cost…

This paper proposes a new mathematical paradigm to analyze discrete-time mean-field games. It is shown that finding Nash equilibrium solutions for a general class of discrete-time mean-field games is equivalent to solving an optimization…

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 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…

We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…

This paper investigates the stabilization and control problems for linear continuous-time mean-field systems (MFS). Under standard assumptions, necessary and sufficient conditions to stabilize the mean-field systems in the mean square sense…

We consider a general class of nonzero-sum $N$-player stochastic games with impulse controls, where players control the underlying dynamics with discrete interventions. We adopt a verification approach and provide sufficient conditions for…

The paper is concerned with a zero-sum Stackelberg stochastic linear-quadratic (LQ, for short) differential game over finite horizons. Under a fairly weak condition, the Stackelberg equilibrium is explicitly obtained by first solving a…

In this paper we present a numerical scheme to solve coupled mean field forward-backward stochastic differential equations driven by monotone vector fields. This is based on an adaptation of so called extragradient methods by characterizing…

In this article, from the viewpoint of control theory, we discuss the relationships among the commonly used monotonicity conditions that ensure the well-posedness of the solutions arising from problems of mean field games (MFGs) and mean…