\(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications (Q2174030)
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scientific article; zbMATH DE number 7190705
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| English | \(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications |
scientific article; zbMATH DE number 7190705 |
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\(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications (English)
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17 April 2020
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In this work authors study a general mean field linear-quadratic games of stochastic large population system. The individual diffusion coefficient is assumed to be dependent on both the state and the control of the agent. To make the analysis simple and easy to follow, the analysis is performed for one dimensional case only. The closed loop behavior is discussed. Through the consistency condition, the epsilon-Nash equilibrium of the decentralized strategies for the linear-quadratic games is established. At the end, numerical results explore the impact of the population's collective behaviors and the consistency of the mean field estimation. Moreover, the decentralized suboptimal price is obtained for a pricing problem.
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mean field game
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linear-quadratic problem
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large population
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\(\epsilon\)-Nash equilibrium
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