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Linear–Quadratic Mean-Field-Type Games: A Direct Method [PDF]
Games, 2018 In this work, a multi-person mean-field-type game is formulated and solved that is described by a linear jump-diffusion system of mean-field type and a quadratic cost functional involving the second moments, the square of the expected value of the state,
Tyrone E. Duncan, Hamidou Tembine
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Quadratic mean-field reflected BSDEs [PDF]
Probability, Uncertainty and Quantitative Risk, 2022 In this paper, we analyze mean-field reflected backward stochastic differential equations when the driver has quadratic growth in the second unknown \begin{document}$ z $\end{document}.
Ying Hu, R. Moreau, Falei Wang
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Linear-Quadratic Mean-Field-Type Difference Games With Coupled Affine Inequality Constraints [PDF]
IEEE Control Systems Letters, 2023 In this letter, we study a class of linear-quadratic mean-field-type difference games with coupled affine inequality constraints. We show that the mean-filed-type equilibrium can be characterized by the existence of a multiplier process which satisfies ...
P. Mohapatra, P. V. Reddy
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RETRACTED ARTICLE: Convergence in quadratic mean of averaged stochastic gradient algorithms without strong convexity nor bounded gradient [PDF]
Statistics (Berlin), 2021 We, the Editors and Publisher of Statistics, have retracted the following article: Antoine Godichon-Baggioni. Convergence in quadratic mean of averaged stochastic gradient algorithms without strong convexity nor bounded gradient. Statistics. 57:3.
Antoine Godichon-Baggioni
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Exploration noise for learning linear-quadratic mean field games [PDF]
Mathematics of Operations Research, 2021 The goal of this paper is to demonstrate that common noise may serve as an exploration noise for learning the solution of a mean field game. This concept is here exemplified through a toy linear-quadratic model, for which a suitable form of common noise ...
François Delarue, A. Vasileiadis
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Linear Quadratic Mean Field Games: Decentralized O(1/N)-Nash Equilibria [PDF]
Journal of Systems Science and Complexity, 2021 This paper studies an asymptotic solvability problem for linear quadratic (LQ) mean field games with controlled diffusions and indefinite weights for the state and control in the costs.
Minyi Huang, Xuwei Yang
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Robust linear quadratic mean field social control: A direct approach
E S A I M: Control, Optimisation and Calculus of Variations, 2021 This paper investigates a robust linear quadratic mean field team control problem. The model involves a global uncertainty drift which is common for a large number of weakly-coupled interactive agents.
Tinghan Xie +2 more
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Backward-forward linear-quadratic mean-field Stackelberg games
Advances in Difference Equations, 2021 This paper studies a controlled backward-forward linear-quadratic-Gaussian (LQG) large population system in Stackelberg games. The leader agent is of backward state and follower agents are of forward state.
Kehan Si, Zhen Wu
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A Quadratic Mean Field Games Model for the Langevin Equation
Axioms, 2021 We consider a Mean Field Games model where the dynamics of the agents is given by a controlled Langevin equation and the cost is quadratic. An appropriate change of variables transforms the Mean Field Games system into a system of two coupled kinetic ...
Fabio Camilli
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Mathematical Control and Related Fields, 2021 In this paper, we consider linear-quadratic (LQ) leader-follower Stackelberg differential games for mean-field type stochastic systems with jump diffusions, where the system includes mean-field variables, i.e., the expected value of state and control ...
Jun Moon
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