Name
Abstract | ||
|---|---|---|
We consider the dynamic optimization of large-population system with partial information. The associated mean-field game is formulated, and its consistency condition is equivalent to the wellposedness of some Riccati equation system. The limiting state-average is represented by a mean-field stochastic differential equation driven by the common Brownian motion. The decentralized strategies with partial information are obtained, and the approximate Nash equilibrium is verified. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1007/s10957-015-0740-x | Journal of Optimization Theory and Applications |
Keywords | Field | DocType |
Dynamic optimization, Forward–backward stochastic differential equation, Large-population system, Mean-field game, Partial information, 65K10, 91A25, 93E20, 93C41 | Population,Mathematical optimization,Mathematical analysis,Stochastic differential equation,Riccati equation,Stochastic partial differential equation,Nash equilibrium,Brownian motion,Mathematics,Limiting,Hyperbolic partial differential equation | Journal |
Volume | Issue | ISSN |
168 | 1 | 1573-2878 |
Citations | PageRank | References |
0 | 0.34 | 4 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jianhui Huang | 1 | 81 | 14.20 |
| Shujun Wang | 2 | 14 | 3.36 |