Linear-Quadratic Mean-Field-Type Games: Jump-Diffusion Process With Regime Switching

被引：24
|
作者：
Barreiro-Gomez, Julian [1 ]
Duncan, Tyrone E. [2 ]
Tembine, Hamidou [1 ]
机构：
[1] New York Univ Abu Dhabi, Learning & Game Theory Lab, Saadiyat 129188, U Arab Emirates
[2] Univ Kansas, Dept Math, Lawrence, KS 66044 USA
来源：
IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 2019年 / 64卷 / 10期
基金：
美国国家科学基金会;
关键词：
Game theory; stochastic systems; STOCHASTIC DIFFERENTIAL-GAMES;
D O I：
10.1109/TAC.2019.2895295
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, we study a linear-quadratic mean-field-type game problem under jump-diffusion-regime switching state dynamics that include mean-field terms in the states and in the cost function. In the cost functional, we consider conditional variance of both the states and control actions, mean of both states and control actions, and covariance terms. The underlying problem is solved in a semiexplicit way by using the direct method.
引用
收藏
页码：4329 / 4336
页数：8
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