Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints (Q4578001)

scientific article; zbMATH DE number 6914170

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English	Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints	scientific article; zbMATH DE number 6914170

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instance of

scholarly article

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title

Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints (English)

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SIAM Journal on Control and Optimization

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publication date

7 August 2018

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full work available at URL

https://arxiv.org/abs/1710.02916

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zbMATH Keywords

$\varepsilon$-Nash equilibrium

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forward-backward stochastic differential equation

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input constraint

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projection operator

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linear-quadratic mixed mean-field game

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MaRDI profile type

MaRDI publication profile

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cites work

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Backwards SDE with random terminal time and applications to semilinear elliptic PDE

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OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

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Mean Field Games and Applications

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A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems

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Utility maximization in incomplete markets

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Linear quadratic mean field game with control input constraint

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Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints

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Mean field games

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Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case

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Identifiers

zbMATH Open document ID

1416.91040

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DOI

10.1137/17M1151420

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4578001