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A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise
Pengyan Huang; Guangchen Wang; Shujun Wang; Hua Xiao
Source PublicationIEEE/CAA Journal of Automatica Sinica
ISSN2329-9266
2024
Volume11Issue:3Pages:746-759
AbstractThis 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 proposed. Applying a filter technique and dimensional-expansion technique, a decentralized control strategy and a consistency condition system are derived, and the related solvability is also addressed. Secondly, we discuss an approximate Nash equilibrium property of the decentralized control strategy. Finally, we work out a financial problem with some numerical simulations.
KeywordDecentralized control strategy ϵ-Nash equilibrium forward-backward stochastic system mean-field game partial observation
DOI10.1109/JAS.2023.124047
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Document Type期刊论文
Identifierhttp://ir.ia.ac.cn/handle/173211/54605
Collection学术期刊_IEEE/CAA Journal of Automatica Sinica
Recommended Citation
GB/T 7714
Pengyan Huang,Guangchen Wang,Shujun Wang,et al. A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise[J]. IEEE/CAA Journal of Automatica Sinica,2024,11(3):746-759.
APA Pengyan Huang,Guangchen Wang,Shujun Wang,&Hua Xiao.(2024).A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise.IEEE/CAA Journal of Automatica Sinica,11(3),746-759.
MLA Pengyan Huang,et al."A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise".IEEE/CAA Journal of Automatica Sinica 11.3(2024):746-759.
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