Zobrazeno 1 - 10
of 125
pro vyhledávání: '"Song, Qingshuo"'
This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the first time. It serves as the probability interpretation of the well-kn
Externí odkaz:
http://arxiv.org/abs/2409.11633
This paper focuses on exploring the convergence properties of a generic player's trajectory and empirical measures in an N-player Linear-Quadratic-Gaussian Nash game, where Brownian motion serves as the common noise. The study establishes three disti
Externí odkaz:
http://arxiv.org/abs/2307.00695
Autor:
Luo, Tao, Song, Qingshuo
This work establishes the equivalence between Mean Field Game and a class of PDE systems closely related to compressible Navier-Stokes equations. The solvability of the PDE system via the existence of the Nash Equilibrium of the Mean Field Game is pr
Externí odkaz:
http://arxiv.org/abs/2107.02657
Publikováno v:
In Nonlinear Analysis: Hybrid Systems May 2024 52
In this work, we study the convergence rate of the $N$-player LQG game with a Markov chain common noise towards its asymptotic Mean Field Game. By postulating a Markovian structure via two auxiliary processes for the first and second moments of the M
Externí odkaz:
http://arxiv.org/abs/2106.04762
This paper establishes unique solvability of a class of Graphon Mean Field Game equations. The special case of a constant graphon yields the result for the Mean Field Game equations.
Comment: 26 pages
Comment: 26 pages
Externí odkaz:
http://arxiv.org/abs/2009.12144
In this work, we study a class of mean-field linear quadratic Gaussian (LQG) problems. Under suitable conditions, explicit solutions of the distribution-dependent optimal control problems are obtained. Riccati systems are derived by directly solving
Externí odkaz:
http://arxiv.org/abs/1910.05236
The study of the density evolution naturally arises in Mean Field Game theory for the estimation of the density of the large population dynamics. In this paper, we study the density evolution of McKean-Vlasov stochastic differential equations in the
Externí odkaz:
http://arxiv.org/abs/1812.10934
Publikováno v:
Journal of Computational and Applied Mathematics, 388:113302, 2021
In this study, a numerical quadrature for the generalized inverse Gaussian distribution is derived from the Gauss-Hermite quadrature by exploiting its relationship with the normal distribution. The proposed quadrature is not Gaussian, but it exactly
Externí odkaz:
http://arxiv.org/abs/1810.01116
This paper investigates sufficient conditions for a Feynman-Kac functional up to an exit time to be the generalized viscosity solution of a Dirichlet problem. The key ingredient is to find out the continuity of exit operator under Skorokhod topology,
Externí odkaz:
http://arxiv.org/abs/1806.09302