Mean-field linear-quadratic stochastic differential games in an infinite horizon

DOI10.1051/cocv/2021078zbMath1471.91023arXiv2007.06130OpenAlexW3181437949MaRDI QIDQ3383291

Xun Li, Jiong-min Yong, Jing-Tao Shi

Publication date: 23 September 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.06130

zbMATH Keywords

infinite horizonalgebraic Riccati equationsstatic stabilizing solutionMF-\(L^2\)-stabilizabilityopen-loop and closed-loop Nash equilibriatwo-person mean-field linear-quadratic stochastic differential game

Mathematics Subject Classification ID

2-person games (91A05) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15) Mean field games (aspects of game theory) (91A16)

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