Research-Mean Field LQ Games with a Finite Number of Agents

Research

Probability & Statistics Seminar

Mean Field LQ Games with a Finite Number of Agents

Speaker: Bingchang Wang (Shandong University)
Time: Sep 16, 2021, 16:00-17:00
Location: Tencent Meeting ID 241 213 358

Abstract

This work is concerned with a new class of mean-field games which involve a finite number of agents. Necessary and sufficient conditions are obtained for the existence of the decentralized open-loop Nash equilibrium in terms of non-standard forward-backward stochastic differential equations (FBSDEs). By solving the FBSDEs, we design a set of decentralized strategies by virtue of two differential Riccati equations. Instead of the asymptotic-Nash equilibrium in classical mean-field games, the set of decentralized strategies is shown to be a Nash equilibrium. Comparison with classical results of mean-field games is also discussed.