Mean Field Game Theory with a Partially Observed Major Agent

DOI10.1137/16M1063010zbMath1358.35195MaRDI QIDQ5298491

Nevroz Şen, Peter E. Caines

Publication date: 15 December 2016

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

zbMATH Keywords

Nash equilibriabackward stochastic differential equationsnonlinear filteringmean field gamesinfinite-dimensional stochastic differential equationsstochastic Hamilton-Jacobi-Bellman equationpartially observed stochastic control

Mathematics Subject Classification ID

Noncooperative games (91A10) Differential games (aspects of game theory) (91A23) Signal detection and filtering (aspects of stochastic processes) (60G35) Decentralized systems (93A14) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Hamilton-Jacobi equations (35F21) Vlasov equations (35Q83) PDEs in connection with control and optimization (35Q93)

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