Dynamic optimization problems for mean-field stochastic large-population systems
DOI10.1051/cocv/2022044zbMath1499.60194OpenAlexW4283021204WikidataQ114011437 ScholiaQ114011437MaRDI QIDQ5093804
Publication date: 1 August 2022
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/cocv/2022044
Riccati equationmean-field gamemean-field stochastic differential equationstochastic Hamiltonian system\(\epsilon\)-Nash equilibrium
Noncooperative games (91A10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamic games (91A25)
Cites Work
- Unnamed Item
- Dynamic optimization of large-population systems with partial information
- Linear quadratic mean field type control and mean field games with common noise, with application to production of an exhaustible resource
- A stochastic maximum principle for general mean-field systems
- A general stochastic maximum principle for SDEs of mean-field type
- Mean-field backward stochastic differential equations and related partial differential equations
- Mean-field backward stochastic differential equations: A limit approach
- Applied functional analysis. Functional analysis, Sobolev spaces and elliptic differential equations
- Mean field games
- Stochastic maximum principle in the mean-field controls
- Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information
- Indefinite mean-field type linear-quadratic stochastic optimal control problems
- Linear quadratic optimal control problems for mean-field backward stochastic differential equations
- Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Probabilistic Analysis of Mean-Field Games
- Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
- Backward Mean-Field Linear-Quadratic-Gaussian (LQG) Games: Full and Partial Information
- Mean Field Games and Applications
- Mean Field Games for Large-Population Multiagent Systems with Markov Jump Parameters
- Large-Population LQG Games Involving a Major Player: The Nash Certainty Equivalence Principle
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Linear quadratic mean field game with control input constraint
- Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints
- Linear–Quadratic Mean-Field Game for Stochastic Delayed Systems
- Equivalent cost functionals and stochastic linear quadratic optimal control problems
- Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations
- Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
- Linear Quadratic Mean Field Games: Asymptotic Solvability and Relation to the Fixed Point Approach
- Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
- A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
- Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty
This page was built for publication: Dynamic optimization problems for mean-field stochastic large-population systems
