Backward-forward linear-quadratic mean-field games with major and minor agents

DOI10.1186/S41546-016-0009-9MaRDI QIDQ2296087zbMATH OpenOpenAlexWikidataFDO

Authors Jianhui Huang, Shujun Wang, Zhen Wu

Publication date 17 February 2020

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s41546-016-0009-9

zbMATH Keywords

\(\epsilon\)-Nash equilibriumbackward-forward stochastic differential equation (BFSDE)consistency conditionlarge-population systemmajor-minor agentmean-field game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Mean field games (aspects of game theory) (91A16)

Recommendations

• Backward-forward linear-quadratic mean-field Stackelberg games
• Linear quadratic mean-field-game of backward stochastic differential systems
• Mean field game for linear-quadratic stochastic recursive systems
• Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents
• Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints

Cites work

• -Nash mean field game theory for nonlinear stochastic dynamical systems with major and minor agents
• A general maximum principle for optimal control of forward-backward stochastic systems
• A general stochastic maximum principle for SDEs of mean-field type
• A maximum principle for SDEs of mean-field type
• Adapted solution of a backward stochastic differential equation
• An Introductory Approach to Duality in Optimal Stochastic Control
• Asymptotically Optimal Decentralized Control for Large Population Stochastic Multiagent Systems
• Backward Stochastic Differential Equations in Finance
• Backward-forward stochastic differential equations
• Explicit solutions of some linear-quadratic mean field games
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• Forward-backward stochastic differential equations and their applications
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Hedging options for a large investor and forward-backward SDE's
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized \varepsilon-Nash Equilibria
• Large-population LQG games involving a major player: the Nash certainty equivalence principle
• Linear - quadratic optimal control and nonzero-sum differential game of forward-backward stochastic system
• Linear-quadratic control of backward stochastic differential equations
• Linear-quadratic mean field games
• Linear-quadratic-Gaussian mixed games with continuum-parametrized minor players
• Mean field games
• Mean-field backward stochastic differential equations and related partial differential equations
• Mean-field backward stochastic differential equations: A limit approach
• Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor agents
• On well-posedness of forward-backward SDEs -- a unified approach
• Optimal investment under relative performance concerns
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• Probabilistic analysis of mean-field games
• Social Optima in Mean Field LQG Control: Centralized and Decentralized Strategies
• Solution of forward-backward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Some recent aspects of differential game theory
• Stochastic Differential Utility
• The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information

Cited in

(18)

• Linear quadratic mean field Stackelberg differential games
• Linear quadratic mean-field-game of backward stochastic differential systems
• Linear-quadratic mean field games with a major player: Nash certainty equivalence versus master equations
• Backward-forward linear-quadratic mean-field Stackelberg games
• Linear quadratic mean field games with a major player: the multi-scale approach
• A mean-field linear-quadratic stochastic Stackelberg differential game with one leader and two followers
• Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents
• Mean field game for linear-quadratic stochastic recursive systems
• A linear-quadratic mean-field game of backward stochastic differential equation with partial information and common noise
• Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints
• Social optima in leader-follower mean field linear quadratic control
• Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor agents
• Risk-sensitive mean field games with major and minor players
• A Mean-Field Game of Market-Making against Strategic Traders
• Mixed Nash games and social optima for linear-quadratic forward-backward mean-field systems
• Linear-quadratic mean-field game for stochastic large-population systems with jump diffusion
• Incomplete information mean-field games and related Riccati equations
• Indefinite linear-quadratic mean field games with a direct approach

This page was built for publication: Backward-forward linear-quadratic mean-field games with major and minor agents

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2296087)