Linear-quadratic mean-field game for stochastic large-population systems with jump diffusion

DOI10.1049/iet-cta.2019.0270zbMath1544.93768MaRDI QIDQ6598738

Unnamed Author, Zhen Wu, Unnamed Author

Publication date: 5 September 2024

Published in: IET Control Theory \& Applications (Search for Journal in Brave)

zbMATH Keywords

game theorystochastic processesRiccati equationsRiccati equationstochastic gamesopen-loopstochastic systemsPoisson processescontrol problemindividualsjump diffusionclosed loop systemslinear quadratic controlstochastic Hamiltonian systemlimit representationaverage termclosed-loop formdecentralised optimal strategieslinear-quadratic mean-field gamemean-field game problempractical control problemsstochastic large-population systems

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic systems in control theory (general) (93E03) Large-scale systems (93A15) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)

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