A closed-loop saddle point for zero-sum linear-quadratic stochastic differential games with mean-field type

DOI10.1016/j.sysconle.2020.104624zbMath1433.91013OpenAlexW3002918432WikidataQ126313754 ScholiaQ126313754MaRDI QIDQ2303968

Rucheng Zhang, Ran Tian, Zhi-Yong Yu

Publication date: 6 March 2020

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2020.104624

zbMATH Keywords

stochastic differential gameRiccati differential equationclosed-loop representationstochastic linear-quadratic problemmean-field type stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Mean field games (aspects of game theory) (91A16)

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