Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach

DOI10.1137/21M1414152zbMath1515.60202arXiv2203.10481MaRDI QIDQ6173819

Zhen Wu, Tianyang Nie, Unnamed Author

Publication date: 13 July 2023

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: This paper studies a class of partial information linear-quadratic mean-field game problems. A general stochastic large-population system is considered, where the diffusion term of the dynamic of each agent can depend on the state and control. We study both the control constrained case and unconstrained case. In control constrained case, by using Hamiltonian approach and convex analysis, the explicit decentralized strategies can be obtained through projection operator. The corresponding Hamiltonian type consistency condition system is derived, which turns out to be a nonlinear mean-field forward-backward stochastic differential equation with projection operator. The well-posedness of such kind of equations is proved by using discounting method. Moreover, the corresponding $varepsilon$-Nash equilibrium property is verified. In control unconstrained case, the decentralized strategies can be further represented explicitly as the feedback of filtered state through Riccati approach. The existence and uniqueness of a solution to a new Riccati type consistency condition system is also discussed. As an application, a general inter-bank borrowing and lending problem is studied to illustrate that the effect of partial information cannot be ignored.

Full work available at URL: https://arxiv.org/abs/2203.10481

zbMATH Keywords

Riccati equationpartial informationforward-backward stochastic differential equationmean-field game\(\varepsilon\)-Nash equilibriumcontrol constrained

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15)

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Related Items (3)

Closed-loop solvability of linear quadratic mean-field type Stackelberg stochastic differential games ⋮ Incomplete information mean-field games and related Riccati equations ⋮ Linear-quadratic mean-field game for stochastic systems with partial observation

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