Research-Linear-Quadratic-Gaussian Mixed Games with Input Constraint Involving Major Agent and Heterogeneous Minor Agents

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Linear-Quadratic-Gaussian Mixed Games with Input Constraint Involving Major Agent and Heterogeneous Minor Agents

Speaker: James Huang (The Hong Kong Polytechnic University)
Time: Apr 15, 2019, 16:00-17:00
Location: Conference Room 415, Hui Yuan 3#

We consider a class of linear-quadratic-Gaussian mean-field games with a major agent and considerable heterogeneous minor agents with mean-field interactions. The individual admissible controls are constrained in closed convex subsets of the full space. The decentralized strategies for individual agents and the consistency condition system are represented in an unified manner via a class of mean-field forward-backward stochastic differential equation involving projection operators. The well-posedness of consistency condition system is established and the related ε−Nash equilibrium property is also verified.