作者
Son Luu Nguyen, Minyi Huang
发表日期
2012
期刊
SIAM Journal on Control and Optimization
卷号
50
期号
5
页码范围
2907-2937
出版商
Society for Industrial and Applied Mathematics
简介
We consider a mean field linear-quadratic-Gaussian game with a major player and a large number of minor players parametrized by a continuum set. The mean field generated by the minor players is approximated by a random process depending only on the initial state and the Brownian motion of the major player, and this leads to two limiting optimal control problems with random coefficients, which are solved subject to a consistency requirement on the mean field approximation. The set of decentralized strategies constructed from the limiting control problems has an -Nash equilibrium property when applied to the large but finite population model.
引用总数
201320142015201620172018201920202021202220232024871120131812119649
学术搜索中的文章