Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach

DOI10.1137/21m1414152zbMath1515.60202arXiv2203.10481MaRDI QIDQ6173819

Zhen Wu, Tianyang Nie, Unnamed Author

Publication date: 13 July 2023

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

Full work available at URL: https://arxiv.org/abs/2203.10481

zbMATH Keywords

Riccati equationpartial informationforward-backward stochastic differential equationmean-field game\(\varepsilon\)-Nash equilibriumcontrol constrained

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15)

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