首页|A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise

A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise

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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 pro-posed.Applying a filter technique and dimensional-expansion technique,a decentralized control strategy and a consistency con-dition system are derived,and the related solvability is also addressed.Secondly,we discuss an approximate Nash equilib-rium property of the decentralized control strategy.Finally,we work out a financial problem with some numerical simulations.

Decentralized control strategyε-Nash equilibriumforward-backward stochastic systemmean-field gamepartial obser-vation

Pengyan Huang、Guangchen Wang、Shujun Wang、Hua Xiao

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School of Control Science and Engineering,Shandong University,Jinan 250061

School of Statistics and Mathematics,Shandong University of Finance and Economics,Jinan 250014,China

School of Control Science and Engineering,Shandong University,Jinan 250061,China

School of Management,Shandong University,Jinan 250100,China

School of Mathematics and Statistics,Shandong University,Weihai 264209,China

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National Key Research and Development Program of ChinaNational Key Research and Development Program of ChinaNational Natural Science Foundation of ChinaNational Natural Science Foundation of ChinaNational Natural Science Foundation of ChinaNational Natural Science Foundation of ChinaNational Natural Science Foundation of ChinaNatural Science Foundation of Shandong ProvinceNatural Science Foundation of Shandong ProvinceTaishan Scholars Young Program of ShandongYoung Scholars Program of Shandong University

2022YFA10061032023YFA10092036192530661821004118310106197704312001320ZR2019ZD42ZR2020ZD24TSQN202211032

2024

10.1109/JAS.2023.124047

自动化学报(英文版)
中国自动化学会,中国科学院自动化研究所,中国科技出版传媒股份有限公司

自动化学报(英文版)

CSTPCDEI
ISSN：2329-9266
年,卷(期)：2024.11(3)
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