Linear-Quadratic Stochastic Differential Games on Directed Chain Networks

arXiv2003.08840MaRDI QIDQ6337040FDOQ6337040

Tomoyuki Ichiba, Jean-Pierre Fouque, Yichen Feng

Publication date: 19 March 2020

Abstract: We study linear-quadratic stochastic differential games on directed chains inspired by the directed chain stochastic differential equations introduced by Detering, Fouque, and Ichiba. We solve explicitly for Nash equilibria with a finite number of players and we study more general finite-player games with a mixture of both directed chain interaction and mean field interaction. We investigate and compare the corresponding games in the limit when the number of players tends to infinity. The limit is characterized by Catalan functions and the dynamics under equilibrium is an infinite-dimensional Gaussian process described by a Catalan Markov chain, with or without the presence of mean field interaction.

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15)

This page was built for publication: Linear-Quadratic Stochastic Differential Games on Directed Chain Networks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6337040)