相关论文: Indefinite Linear-Quadratic Partially Observed Mea…
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…
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…
Motivated by mean-field games (MFG) with common noise on the one hand and pathwise stochastic control theory on the other, we formulate here a linear-quadratic (LQ) MFG with rough common noise, along with a satisfactory well-posedness…
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…
In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…
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…
In this paper, we study a large population game with heterogeneous dynamics and cost functions solving a consensus problem. Moreover, the agents have communication constraints which appear as: (1) an Additive-White Gaussian Noise (AWGN)…
We consider a multi-player stochastic differential game with linear McKean-Vlasov dynamics and quadratic cost functional depending on the variance and mean of the state and control actions of the players in open-loop form. Finite and…
We explore a mechanism of decision-making in Mean Field Games with myopic players. At each instant, agents set a strategy which optimizes their expected future cost by assuming their environment as immutable. As the system evolves, the…
We consider stochastic differential games with $N$ nearly identical players, linear-Gaussian dynamics, and infinite horizon discounted quadratic cost. Admissible controls are feedbacks for which the system is ergodic. We first study the…
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 presents a comprehensive study of linear-quadratic (LQ) mean field games (MFGs) in Hilbert spaces, generalizing the classic LQ MFG theory to scenarios involving $N$ agents with dynamics governed by infinite-dimensional stochastic…
In this manuscript, we study a class of linear-quadratic (LQ) mean field control problems with a common noise and their corresponding $N$-particle systems. The mean field control problems considered are not standard LQ mean field control…
Mean field games models describing the limit of a large class of stochastic differential games, as the number of players goes to $+\infty$, have been introduced by J.-M. Lasry and P.-L. Lions. We use a change of variables to transform the…
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 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…
We study mean field games and corresponding $N$-player games in continuous time over a finite time horizon where the position of each agent belongs to a finite state space. As opposed to previous works on finite state mean field games, we…
A linear quadratic (LQ) stochastic optimization problem with delay involving weakly-coupled large population is investigated in this paper. Different to classic mean field (MF) game, here agents cooperate with each other to minimize the…
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…
This paper revisits well-studied dynamic decisions of weakly coupled large-population (LP) systems. Specifically, three types of LP decision problems: mean-field game (MG), mean-field team (MT), and mean-field-type control (MC), are…