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

Kalman filtering forward-backward stochastic differential equation consistency condition mean-field games partial observation $ \epsilon $-Nash equilibrium

Mathematics Subject Classification ID

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

Cites Work

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Mean field games
Forward-backward stochastic differential equations and their applications
Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
Dynamic optimization of large-population systems with partial information
Probabilistic analysis of mean-field games
Linear-quadratic mean field games
Large-Population LQG Games Involving a Major Player: The Nash Certainty Equivalence Principle
Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
Mean Field Games and Mean Field Type Control Theory
Modeling crowd dynamics by the mean-field limit approach
Explicit solutions of some linear-quadratic mean field games
On the relationship between Nash—Cournot and Wardrop equilibria
On the Separation Theorem of Stochastic Control
Uplink Power Adjustment in Wireless Communication Systems: A Stochastic Control Analysis
Synchronization of Coupled Oscillators is a Game
Nash, Social and Centralized Solutions to Consensus Problems via Mean Field Control Theory
Risk-Sensitive Mean-Field Games
Markov Perfect Industry Dynamics With Many Firms
Mean field games and systemic risk
Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
Linear-Quadratic-Gaussian Mixed Games with Continuum-Parametrized Minor Players
Differential game models of advertising competition
Self-enforcing collusion in large dynamic markets
Probabilistic Theory of Mean Field Games with Applications II
A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
Nonlinear Filtering Theory for McKean--Vlasov Type Stochastic Differential Equations
Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints

Cited In (13)

Mean Field Games with Partial Observation
Exploratory LQG mean field games with entropy regularization
Title not available (Why is that?)
Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach
A class of optimal control problems of forward-backward systems with input constraint
Partially observed mean-field game and related mean-field forward-backward stochastic differential equation
Extended mean-field control problem with partial observation
Incomplete information mean-field games and related Riccati equations
Linear-quadratic mean-field game for stochastic systems with partial observation
Mean field games with heterogeneous groups: application to banking systems
Linear-Quadratic Gaussian Dynamic Games with a Control-Sharing Information Pattern
Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance
Second-order necessary condition for partially observed stochastic system with random jumps

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