ϵ-Nash mean-field games for general linear-quadratic systems with applications

• Autores: Ruimin Xu, Feng Zhang
• Localización: Automatica: A journal of IFAC the International Federation of Automatic Control, ISSN 0005-1098, Nº. 114, 2020
• Idioma: inglés
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• Resumen

  • This paper is concerned with general mean-field (MF) linear-quadratic (LQ) games of stochastic large-population system, where the individual diffusion coefficient can depend on both the state and the control of the agent. Moreover, the control weight in the cost functional could be indefinite. The asymptotic suboptimality property (namely, ϵ-Nash equilibrium) of the decentralized strategies for the LQ games is derived through the consistency condition. The impact of the population’s collective behaviors and the consistency of the mean field estimation are illustrated by the numerical results. A pricing problem is also studied, for which the decentralized suboptimal price is obtained.