| Autor: |
Li, Min, Nie, Tianyang, Wang, Shunjun, Yan, Ke |
| Rok vydání: |
2023 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
We study a class of linear-quadratic mean-field games with incomplete information. For each agent, the state is given by a linear forward stochastic differential equation with common noise. Moreover, both the state and control variables can enter the diffusion coefficients of the state equation. We deduce the open-loop adapted decentralized strategies and feedback decentralized strategies by mean-field forward-backward stochastic differential equation and Riccati equations, respectively. The well-posedness of the corresponding consistency condition system is obtained and the limiting state-average turns out to be the solution of a mean-field stochastic differential equation driven by common noise. We also verify the $\varepsilon$-Nash equilibrium property of the decentralized control strategies. Finally, a network security problem is studied to illustrate our results as an application. |
| Databáze: |
arXiv |
| Externí odkaz: |
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