Research-An LQ differential game of stochastic large-population system with partial information

Research

Probability & Statistics Seminar

An LQ differential game of stochastic large-population system with partial information

Speaker: Guangchen Wang (Shandong University)
Time: Sep 16, 2021, 14:30-15:30
Location: Tencent Meeting ID 533 300 317

Abstract

This talk is concerned with an LQ differential game of stochastic large-population system under partial information and common noise, where the large-population system satisfies a backward rather than forward SDE, and both coupling structure and solution of the backward SDE enter state equation and cost functional. Combining maximum principle with optimal filtering, we derive an optimal control of a limiting control problem first, and then, we verify that a decentralized control strategy is an epsilon-Nash equilibrium point of the game. We also work out an example to illustrate the results above.