Backward-forward linear-quadratic mean-field games with major and minor agents
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Publication:2296087
DOI10.1186/s41546-016-0009-9zbMath1443.91044OpenAlexW2549058330WikidataQ59467548 ScholiaQ59467548MaRDI QIDQ2296087
Jianhui Huang, Zhen Wu, Shujun Wang
Publication date: 17 February 2020
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s41546-016-0009-9
consistency conditionlarge-population systemmean-field game\(\epsilon\)-Nash equilibriumbackward-forward stochastic differential equation (BFSDE)major-minor agent
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Mean field games (aspects of game theory) (91A16)
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