Backward-forward linear-quadratic mean-field games with major and minor agents

DOI10.1186/S41546-016-0009-9zbMath1443.91044OpenAlexW2549058330WikidataQ59467548 ScholiaQ59467548MaRDI QIDQ2296087

Jianhui Huang, Zhen Wu, Shujun Wang

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s41546-016-0009-9

zbMATH Keywords

consistency conditionlarge-population systemmean-field game\(\epsilon\)-Nash equilibriumbackward-forward stochastic differential equation (BFSDE)major-minor agent

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Mean field games (aspects of game theory) (91A16)

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Backward-forward linear-quadratic mean-field Stackelberg games ⋮ Linear quadratic mean field games with a major player: the multi-scale approach ⋮ A Mean-Field Game of Market-Making against Strategic Traders ⋮ A linear-quadratic mean-field game of backward stochastic differential equation with partial information and common noise ⋮ Linear quadratic mean field Stackelberg differential games ⋮ A mean-field linear-quadratic stochastic Stackelberg differential game with one leader and two followers ⋮ Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents ⋮ Mean field game for linear-quadratic stochastic recursive systems ⋮ Mixed Nash games and social optima for linear-quadratic forward-backward mean-field systems ⋮ Linear-quadratic mean-field game for stochastic large-population systems with jump diffusion ⋮ Incomplete information mean-field games and related Riccati equations ⋮ Social optima in leader-follower mean field linear quadratic control

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