Mean-field linear-quadratic stochastic differential games in an infinite horizon
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Publication:3383291
DOI10.1051/COCV/2021078zbMATH Open1471.91023arXiv2007.06130OpenAlexW3181437949MaRDI QIDQ3383291FDOQ3383291
Authors: Xun Li, Jingtao Shi, Jiongmin Yong 
Publication date: 23 September 2021
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Abstract: This paper is concerned with two-person mean-field linear-quadratic non-zero sum stochastic differential games in an infinite horizon. Both open-loop and closed-loop Nash equilibria are introduced. Existence of an open-loop Nash equilibrium is characterized by the solvability of a system of mean-field forward-backward stochastic differential equations in an infinite horizon and the convexity of the cost functionals, and the closed-loop representation of an open-loop Nash equilibrium is given through the solution to a system of two coupled non-symmetric algebraic Riccati equations. The existence of a closed-loop Nash equilibrium is characterized by the solvability of a system of two coupled symmetric algebraic Riccati equations. Two-person mean-field linear-quadratic zero-sum stochastic differential games in an infinite time horizon are also considered. Both the existence of open-loop and closed-loop saddle points are characterized by the solvability of a system of two coupled generalized algebraic Riccati equations with static stabilizing solutions. Mean-field linear-quadratic stochastic optimal control problems in an infinite horizon are discussed as well, for which it is proved that the open-loop solvability and closed-loop solvability are equivalent.
Full work available at URL: https://arxiv.org/abs/2007.06130
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algebraic Riccati equationsinfinite horizonstatic stabilizing solutionMF-\(L^2\)-stabilizabilityopen-loop and closed-loop Nash equilibriatwo-person mean-field linear-quadratic stochastic differential game
2-person games (91A05) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15) Mean field games (aspects of game theory) (91A16)
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