Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty (Q5853639)

scientific article; zbMATH DE number 7319568

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English	Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty	scientific article; zbMATH DE number 7319568

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instance of

scholarly article

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title

Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty (English)

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SIAM Journal on Control and Optimization

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publication date

11 March 2021

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full work available at URL

https://arxiv.org/abs/1912.06371

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zbMATH Keywords

mean field game

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social control

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common noise

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uncertainty

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forward-backward stochastic differential equation

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MaRDI profile type

MaRDI publication profile

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cites work

Wellposedness of Mean Field Games with Common Noise under a Weak Monotonicity Condition

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Pricing and hedging derivative securities in markets with uncertain volatilities

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Explicit solutions of some linear-quadratic mean field games

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$H^ \infty$-optimal control and related minimax design problems. A dynamic game approach.

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Opinion Dynamics in Social Networks through Mean-Field Games

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Linear-quadratic mean field games

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Mean Field Games With Parametrized Followers

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Uncertain volatility models -- theory and application

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Nonlinear Stochastic Differential Games Involving a Major Player and a Large Number of Collectively Acting Minor Agents

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Probabilistic Analysis of Mean-Field Games

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Mean field games with common noise

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Probabilistic Theory of Mean Field Games with Applications I

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On the connection between symmetric $N$-player games and mean field games

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Mean field games models -- a brief survey

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Linear quadratic mean field type control and mean field games with common noise, with application to production of an exhaustible resource

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Mean Field Games and Applications

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

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Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance

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Large-Population LQG Games Involving a Major Player: The Nash Certainty Equivalence Principle

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Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria

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Social Optima in Mean Field LQG Control: Centralized and Decentralized Strategies

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Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle

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Linear Quadratic Mean Field Games: Asymptotic Solvability and Relation to the Fixed Point Approach

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A general characterization of the mean field limit for stochastic differential games

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Mean field games

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Asymptotically Optimal Decentralized Control for Large Population Stochastic Multiagent Systems

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Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights

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Minimax control of linear stochastic systems with noise uncertainty

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Forward-backward stochastic differential equations and their applications

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Linear Quadratic Risk-Sensitive and Robust Mean Field Games

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A risk-neutral equilibrium leading to uncertain volatility pricing

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Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications

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Team Decision Problems

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Dynamic Collective Choice: Social Optima

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Optimal Solutions to Infinite-Player Stochastic Teams and Mean-Field Teams

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Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points

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Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems

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Mean Field Games for Large-Population Multiagent Systems with Markov Jump Parameters

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Distributed control of multi-agent systems with random parameters and a major agent

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Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon

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Markov Perfect Industry Dynamics With Many Firms

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Linear forward-backward stochastic differential equations with random coefficients

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Forward-backward stochastic differential equations with mixed initial-terminal conditions

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Q4255599

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Identifiers

zbMATH Open document ID

1459.91013

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DOI

10.1137/19M1306737

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5853639