Steering the distribution of agents in mean-field games system

DOI10.1007/s10957-018-1365-7zbMath1419.91065arXiv1712.03578OpenAlexW2886722878MaRDI QIDQ1730816

Michele Pavon, Tryphon T. Georgiou, Yongxin Chen

Publication date: 6 March 2019

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.03578

zbMATH Keywords

optimal controlmean-field gameslinear stochastic systemsMcKean-Vlasov dynamicsweakly interacting particle system

Mathematics Subject Classification ID

Noncooperative games (91A10) Cooperative games (91A12) Applications of optimal control and differential games (49N90) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Portfolio optimization with a prescribed terminal wealth distribution, Entropic model predictive optimal transport over dynamical systems, The mean field Schrödinger problem: ergodic behavior, entropy estimates and functional inequalities

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