Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints

DOI10.1137/17M1151420zbMath1416.91040arXiv1710.02916MaRDI QIDQ4578001

Ying Hu, Jianhui Huang, Tianyang Nie

Publication date: 7 August 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.02916

zbMATH Keywords

forward-backward stochastic differential equation; projection operator; \(\varepsilon\)-Nash equilibrium; input constraint; linear-quadratic mixed mean-field game

Mathematics Subject Classification ID

91A10: Noncooperative games

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91A23: Differential games (aspects of game theory)

93E20: Optimal stochastic control

91A15: Stochastic games, stochastic differential games