Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty
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Publication:5853639
DOI10.1137/19M1306737zbMath1459.91013arXiv1912.06371OpenAlexW3135534000MaRDI QIDQ5853639
Bing-Chang Wang, Jianhui Huang, Jiong-min Yong
Publication date: 11 March 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.06371
uncertaintyforward-backward stochastic differential equationcommon noisemean field gamesocial control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)
Related Items (7)
Social optima in mean field linear-quadratic-Gaussian models with control input constraint ⋮ Dynamic optimization problems for mean-field stochastic large-population systems ⋮ Robust Mean Field Linear Quadratic Social Control: Open-Loop and Closed-Loop Strategies ⋮ Discrete‐time mean field social control with a major agent ⋮ Linear-quadratic delayed mean-field social optimization ⋮ A unified approach to linear-quadratic-Gaussian mean-field team: homogeneity, heterogeneity and quasi-exchangeability ⋮ Linear quadratic mean-field game with volatility uncertainty
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