Linear quadratic mean-field game with volatility uncertainty (Q6198303)

scientific article; zbMATH DE number 7808093

Language	Label	Description	Also known as
English	Linear quadratic mean-field game with volatility uncertainty	scientific article; zbMATH DE number 7808093

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instance of

scholarly article

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title

Linear quadratic mean-field game with volatility uncertainty (English)

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Journal of Mathematical Analysis and Applications

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publication date

21 February 2024

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zbMATH Keywords

large population system

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mean-field game

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volatility uncertainty

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(forward) backward stochastic differential equation

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MaRDI profile type

MaRDI publication profile

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cites work

Robust game theory

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Pricing and hedging derivative securities in markets with uncertain volatilities

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Linear-Quadratic $N$-person and Mean-Field Games with Ergodic Cost

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$H^ \infty$-optimal control and related minimax design problems. A dynamic game approach.

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Linear-quadratic mean field games

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Nonlinear Stochastic Differential Games Involving a Major Player and a Large Number of Collectively Acting Minor Agents

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Probabilistic Theory of Mean Field Games with Applications I

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A characterization of sub-game perfect equilibria for SDEs of mean-field type

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Existence, Uniqueness, and Computation of Robust Nash Equilibria in a Class of Multi-Leader-Follower Games

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Linear quadratic mean field game with control input constraint

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Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints

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Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance

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Linear–Quadratic Mean-Field Game for Stochastic Delayed Systems

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Mean-Field Linear-Quadratic-Gaussian (LQG) Games for Stochastic Integral Systems

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Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty

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Robust Stackelberg Differential Game With Model Uncertainty

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Large-Population LQG Games Involving a Major Player: The Nash Certainty Equivalence Principle

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Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle

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<i>ε</i>-Equilibrium in LQ differential games with bounded uncertain disturbances: robustness of standard strategies and new strategies with adaptation

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Discounted Robust Stochastic Games and an Application to Queueing Control

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Mean field games

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Linear Quadratic Risk-Sensitive and Robust Mean Field Games

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A risk-neutral equilibrium leading to uncertain volatility pricing

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A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems

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$\epsilon$-Nash Mean Field Game Theory for Nonlinear Stochastic Dynamical Systems with Major and Minor Agents

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MEAN FIELD (NCE) FORMULATION OF ESTIMATION BASED LEADER–FOLLOWER COLLECTIVE DYNAMICS

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Backward stochastic differential equations and applications to optimal control

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Dynamic Collective Choice: Social Optima

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Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems

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Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points

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Linear quadratic control of backward stochastic differential equation with partial information

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Individual and mass behavior in large population forward–backward stochastic control problems: Centralized and Nash equilibrium solutions

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Robust equilibria in indefinite linear-quadratic differential games

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Robust linear quadratic mean field social control: A direct approach

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Q4255599

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.JMAA.2024.128081

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Sitelinks

Mathematics(1 entry)

mardi Publication:6198303