A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise | |
Pengyan Huang; Guangchen Wang; Shujun Wang; Hua Xiao | |
刊名 | IEEE/CAA Journal of Automatica Sinica |
2024 | |
卷号 | 11期号:3页码:746-759 |
关键词 | Decentralized control strategy ϵ-Nash equilibrium forward-backward stochastic system mean-field game partial observation |
ISSN号 | 2329-9266 |
DOI | 10.1109/JAS.2023.124047 |
英文摘要 | This paper considers a linear-quadratic (LQ) mean-field game governed by a forward-backward stochastic system with partial observation and common noise, where a coupling structure enters state equations, cost functionals and observation equations. Firstly, to reduce the complexity of solving the mean-field game, a limiting control problem is introduced. By virtue of the decomposition approach, an admissible control set is proposed. Applying a filter technique and dimensional-expansion technique, a decentralized control strategy and a consistency condition system are derived, and the related solvability is also addressed. Secondly, we discuss an approximate Nash equilibrium property of the decentralized control strategy. Finally, we work out a financial problem with some numerical simulations. |
内容类型 | 期刊论文 |
源URL | [http://ir.ia.ac.cn/handle/173211/54605] |
专题 | 自动化研究所_学术期刊_IEEE/CAA Journal of Automatica Sinica |
推荐引用方式 GB/T 7714 | Pengyan Huang,Guangchen Wang,Shujun Wang,et al. A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise[J]. IEEE/CAA Journal of Automatica Sinica,2024,11(3):746-759. |
APA | Pengyan Huang,Guangchen Wang,Shujun Wang,&Hua Xiao.(2024).A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise.IEEE/CAA Journal of Automatica Sinica,11(3),746-759. |
MLA | Pengyan Huang,et al."A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise".IEEE/CAA Journal of Automatica Sinica 11.3(2024):746-759. |
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