Linear-quadratic-Gaussian mean-field-game with partial observation and common noise

DOI10.3934/mcrf.2020025zbMath1471.91026OpenAlexW3033636411MaRDI QIDQ829005

Jianhui Huang, Xinwei Feng, Alain Bensoussan

Publication date: 5 May 2021

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2020025

zbMATH Keywords

consistency conditionKalman filteringforward-backward stochastic differential equationmean-field gamespartial observation\( \epsilon \)-Nash equilibrium

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Mean field games (aspects of game theory) (91A16)

Related Items (5)

Extended mean-field control problem with partial observation ⋮ A class of optimal control problems of forward-backward systems with input constraint ⋮ Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach ⋮ Mean field games with heterogeneous groups: application to banking systems ⋮ Exploratory LQG mean field games with entropy regularization

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