Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
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Publication:2474734
DOI10.4310/CIS.2006.v6.n3.a5zbMath1136.91349MaRDI QIDQ2474734
Peter E. Caines, M. Y. Huang, Roland P. Malhamé
Publication date: 6 March 2008
Published in: Communications in Information and Systems (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equationdecentralized controlNash equilibriastatistical physicsinteracting particle systemsMcKean-Vlasov equationlarge populationsstochastic dynamic gamesmulti-class agents
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interbank market model ⋮ Weak existence and uniqueness for McKean-Vlasov SDEs with common noise ⋮ Mean-field linear-quadratic stochastic differential games ⋮ Existence theory for a time-dependent mean field games model of household wealth ⋮ Image-dependent conditional McKean-Vlasov SDEs for measure-valued diffusion processes ⋮ The law of large numbers for quantum stochastic filtering and control of many-particle systems ⋮ Weak solutions for potential mean field games of controls ⋮ Quantum mean-field games with the observations of counting type ⋮ Secure discrete-time linear-quadratic mean-field games ⋮ Non coercive unbounded first order mean field games: the Heisenberg example ⋮ Dynamic pricing of new products in competitive markets: a mean-field game approach ⋮ Semiconcavity and sensitivity analysis in mean-field optimal control and applications ⋮ Numerical study of the stock market crises based on mean field games approach ⋮ Origin-to-destination network flow with path preferences and velocity controls: a mean field game-like approach ⋮ Linear-quadratic zero-sum mean-field type games: optimality conditions and policy optimization ⋮ Splitting methods for a class of non-potential mean field games ⋮ Robust designs through risk sensitivity: an overview ⋮ Linear quadratic mean field games: decentralized \(O(1/N)\)-Nash equilibria ⋮ Abstract McKean-Vlasov and Hamilton-Jacobi-Bellman equations, their fractional versions and related forward-backward systems on Riemannian manifolds ⋮ Reinforcement learning and stochastic optimisation ⋮ Submodular mean field games: existence and approximation of solutions ⋮ Control and optimal stopping mean field games: a linear programming approach ⋮ \(N\)-player games and mean-field games with smooth dependence on past absorptions ⋮ Mean field games with common noises and conditional distribution dependent FBSDEs ⋮ Approximating Nash equilibrium for optimal consumption in stochastic growth model with jumps ⋮ Mean field games master equations with nonseparable Hamiltonians and displacement monotonicity ⋮ Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon ⋮ Mean-field games of finite-fuel capacity expansion with singular controls ⋮ Multi-agent reinforcement learning: a selective overview of theories and algorithms ⋮ Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games ⋮ Mean field games of controls: propagation of monotonicities ⋮ Solvability of infinite horizon McKean-Vlasov FBSDEs in mean field control problems and games ⋮ Linear quadratic mean field social control with common noise: a directly decoupling method ⋮ PMP-based numerical solution for mean field game problem of general nonlinear system ⋮ Interview with Ulf Hashagen: exhibitions and mathematical models in the nineteenth and twentieth centuries ⋮ Essential stationary equilibria of mean field games with finite state and action space ⋮ Mean field portfolio games ⋮ Exploratory LQG mean field games with entropy regularization ⋮ A myopic adjustment process for mean field games with finite state and action space ⋮ On mean-field control problems for backward doubly stochastic systems ⋮ Existence and computation of stationary solutions for congestion-type mean field games via bifurcation theory and forward-forward problems ⋮ Bridging mean-field games and normalizing flows with trajectory regularization ⋮ Q-learning in regularized mean-field games ⋮ Reinforcement learning for non-stationary discrete-time linear-quadratic mean-field games in multiple populations ⋮ From mean field games to Navier-Stokes equations ⋮ Approximation of \(N\)-player stochastic games with singular controls by mean field games ⋮ Mean field games of controls: on the convergence of Nash equilibria ⋮ Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension ⋮ Model-free policy iteration approach to NCE-based strategy design for linear quadratic Gaussian games ⋮ Inverse problems for mean field games ⋮ Ergodic control of McKean-Vlasov SDEs and associated Bellman equation ⋮ Propagation of chaos of forward-backward stochastic differential equations with graphon interactions ⋮ On a class of McKean-Vlasov stochastic functional differential equations with applications ⋮ Time-inconsistent LQ games for large-population systems and applications ⋮ Hierarchies, entropy, and quantitative propagation of chaos for mean field diffusions ⋮ Non-negative low-rank approximations for multi-dimensional arrays on statistical manifold ⋮ A Discrete Weak KAM Method for First-Order Stationary Mean Field Games ⋮ Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach ⋮ Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem ⋮ A singular perturbation problem for mean field games of acceleration: application to mean field games of control ⋮ A mean field game model of firm-level innovation ⋮ On monotonicity conditions for mean field games ⋮ Monotone solutions for mean field games master equations: continuous state space and common noise ⋮ Learning High-Dimensional McKean–Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence ⋮ Analysis and Numerical Approximation of Stationary Second-Order Mean Field Game Partial Differential Inclusions ⋮ A Lagrange–Galerkin Scheme for First Order Mean Field Game Systems ⋮ MF-OMO: An Optimization Formulation of Mean-Field Games ⋮ Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games ⋮ Viscosity Solutions for McKean–Vlasov Control on a Torus ⋮ A mean field game approach for a class of linear quadratic discrete choice problems with congestion avoidance ⋮ Stochastic optimal control for dynamics of forward backward doubly SDEs of mean-field type ⋮ Linear quadratic mean-field game with volatility uncertainty ⋮ Selected topics in mean field games ⋮ Hölder stability and uniqueness for the mean field games system via Carleman estimates ⋮ Learning to mitigate epidemic risks: a dynamic population game approach
