Dynamic optimization problems for mean-field stochastic large-population systems

DOI10.1051/COCV/2022044MaRDI QIDQ5093804zbMATH OpenOpenAlexWikidataFDO

Authors Min Li, Na Li, Zhen Wu

Publication date 1 August 2022

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/cocv/2022044

zbMATH Keywords

\(\epsilon\)-Nash equilibriummean-field gamemean-field stochastic differential equationRiccati equationstochastic Hamiltonian system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Noncooperative games (91A10) Dynamic games (91A25) Optimal stochastic control (93E20)

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Cites work

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Cited in

(9)

• Mean field production output control with sticky prices: Nash and social solutions
• Approximation and mean field control of systems of large populations
• Dynamic optimization of large-population systems with partial information
• Decomposition and mean-field approach to mixed integer optimal compensation problems
• Multi-population based univariate marginal distribution algorithm for dynamic optimization problems
• Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach
• Linear-quadratic mean-field game for stochastic large-population systems with jump diffusion
• The delay feedback control for the McKean-Vlasov stochastic differential equations with common noise
• A generalized linear-quadratic mean-field type game of controls with common noise

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