Linear-Quadratic Mean Field Games

Journal of Optimization Theory and Applications

Volumn 169, Issue 2, 2016, Pages 496-529

  Bensoussan, A ^a,b   Sung, K C J ^c   Yam, S C P ^d   Yung, S P ^c  

^a UNIVERSITY OF TEXAS AT DALLAS   (United States)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^c UNIVERSITY OF HONG KONG   (Hong Kong)

^d CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Adjoint equations; Linear quadratic; Mean field games; Mean field type stochastic control problems

Indexed keywords

FIXED POINT ARITHMETIC; ORDINARY DIFFERENTIAL EQUATIONS; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS;

ADJOINT EQUATIONS; CONDITION; CONTROL PROBLEMS; EQUILIBRIA STRATEGIES; GENERAL CLASS; LINEAR QUADRATIC; MEAN FIELD TYPE STOCHASTIC CONTROL PROBLEM; MEAN-FIELD; MEAN-FIELD GAMES; STOCHASTIC CONTROL;

RICCATI EQUATIONS;

EID: 84945273282     PISSN: 00223239     EISSN: 15732878     Source Type: Journal    
DOI: 10.1007/s10957-015-0819-4     Document Type: Article

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