Linear-quadratic mean field stochastic zero-sum differential games
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Publication:2203038
DOI10.1016/j.automatica.2020.109067zbMath1448.91025OpenAlexW3043513289MaRDI QIDQ2203038
Publication date: 1 October 2020
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2020.109067
Riccati differential equationssaddle-point equilibriummean field stochastic differential equationsstochastic zero-sum differential games
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Feedback control (93B52) 2-person games (91A05) Mean field games (aspects of game theory) (91A16)
Related Items (7)
Linear-quadratic mean-field type Stackelberg differential games for stochastic jump-diffusion systems ⋮ Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems ⋮ An addendum to the problem of zero-sum LQ stochastic mean-field dynamic games ⋮ Dynamic trading with Markov liquidity switching ⋮ Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach ⋮ Mean-field linear-quadratic stochastic differential games ⋮ Mean-field linear-quadratic stochastic differential games in an infinite horizon
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