Linear-quadratic McKean-Vlasov stochastic differential games

DOI10.1007/978-3-030-25498-8_19zbMath1427.91026arXiv1812.00632OpenAlexW2902287998MaRDI QIDQ2337438

Huyên Pham, Enzo Miller

Publication date: 20 November 2019

Full work available at URL: https://arxiv.org/abs/1812.00632

zbMATH Keywords

weak martingale optimality principlelinear McKean-Vlasov dynamicslinear mean-field backward stochastic differential equationsmulti-player stochastic differential gamesRiccati ordinary differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) (n)-person games, (n>2) (91A06) Stochastic games, stochastic differential games (91A15)

Related Items (7)

Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games ⋮ A McKean-Vlasov game of commodity production, consumption and trading ⋮ Stochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal Control ⋮ Mean-field doubly reflected backward stochastic differential equations ⋮ Continuous-time mean field games with finite state space and common noise ⋮ Mean-field linear-quadratic stochastic differential games in an infinite horizon ⋮ Mean-field backward–forward stochastic differential equations and nonzero sum stochastic differential games

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