LINEAR-QUADRATIC-GAUSSIAN MIXED MEAN-FIELD GAMES WITH HETEROGENEOUS INPUT CONSTRAINTS

被引：33
|
作者：
Hu, Ying [1 ,2 ]
Huang, Jianhui [3 ]
Nie, Tianyang [4 ]
机构：
[1] Univ Rennes 1, IRMAR, Campus Beaulieu, F-35042 Rennes, France
[2] Fudan Univ, Sch Math Sci, Shanghai 200433, Peoples R China
[3] Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Hong Kong, Peoples R China
[4] Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2018年 / 56卷 / 04期
关键词：
epsilon-Nash equilibrium; forward-backward stochastic differential equation; input constraint; projection operator; linear-quadratic mixed mean-field games; STOCHASTIC DIFFERENTIAL-EQUATIONS; PORTFOLIO SELECTION; MAJOR PLAYER; TIME; SYSTEMS;
D O I：
10.1137/17M1151420
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We consider a class of linear-quadratic-Gaussian mean-field games having a major agent and numerous heterogeneous minor agents in the presence of mean-field interactions. The individual admissible controls are constrained in closed convex subsets Gamma(k) of R-m. The decentralized strategies of individual agents and the consistency condition system are represented in a unified manner through a class of mean-field forward-backward stochastic differential equations involving projection operators on Gamma(k) The well-posedness of the consistency system is established in both the local and global cases through the contraction mapping and discounting methods, respectively. A related epsilon-Nash-equilibrium property is also verified.
引用
收藏
页码：2835 / 2877
页数：43
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