Linear quadratic mean-field-game of backward stochastic differential systems
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Publication:2001547
DOI10.3934/mcrf.2018028zbMath1416.93198OpenAlexW2890833025WikidataQ129108685 ScholiaQ129108685MaRDI QIDQ2001547
Kai Du, Zhen Wu, Jianhui Huang
Publication date: 3 July 2019
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/mcrf.2018028
backward stochastic differential equation (BSDE)\(\varepsilon\)-Nash equilibriumbackward mean-field game (BMFG)Hamiltonian-type consistency condition (HCC)Riccati-type consistency condition (RCC)
Noncooperative games (91A10) Differential games (aspects of game theory) (91A23) Data smoothing in stochastic control theory (93E14) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03)
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Nonzero-sum differential game of backward doubly stochastic systems with delay and applications ⋮ Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems ⋮ Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps ⋮ A class of optimal control problems of forward-backward systems with input constraint ⋮ A linear-quadratic mean-field game of backward stochastic differential equation with partial information and common noise ⋮ A Stackelberg game of backward stochastic differential equations with applications ⋮ Linear quadratic control of backward stochastic differential equation with partial information ⋮ Mean field game for linear-quadratic stochastic recursive systems ⋮ Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application ⋮ Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information ⋮ A Stackelberg game of backward stochastic differential equations with partial information ⋮ Linear-quadratic optimal control for backward stochastic differential equations with random coefficients ⋮ General indefinite backward stochastic linear-quadratic optimal control problems
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