Mean field stochastic linear quadratic games for continuum-parameterized multi-agent systems

Title: Mean field stochastic linear quadratic games for continuum-parameterized multi-agent systems
Creator: Li, Zhipeng; Fu, Minyue; Zhang, Huanshui; Wu, Zongze
Relation: Journal of the Franklin Institute Vol. 355, Issue 12, p. 5240-5255
Publisher Link: http://dx.doi.org/10.1016/j.jfranklin.2018.05.003
Publisher: Elsevier
Resource Type: journal article
Date: 2018
Description: In this paper, we consider a stochastic linear quadratic mean field game for the continuum-parameterized multi-agent systems with multiplicative noise. Based on the Nash certain equivalence principle, we obtain a series of decentralized control laws. Then, Dynkin’s formula and comparison principle are employed to prove the boundedness of the state of the closed loop system in the mean square sense. Finally, we show that the set of decentralized controls has an ϵ-Nash equilibrium property.
Subject: systems; stochastic linear; linear quadratic; mean field games
Identifier: http://hdl.handle.net/1959.13/1447942
Identifier: uon:43267
Identifier: ISSN:0016-0032
Language: eng
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