Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information
DOI10.1016/j.jmaa.2021.125315zbMath1470.91033OpenAlexW3163746780MaRDI QIDQ2049322
Publication date: 25 August 2021
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2021.125315
feedbackasymmetric informationmean-field stochastic differential equationNash equilibrium pointfiltering equationlinear-quadratic non-zero sum differential game
Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)
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Cites Work
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