Abstract
We consider a mean field LQG game model with a major player and a large number of minor players which are parametrized by a continuum set. We approximate the mean field generated by the minor players by a kernel representation using the Brownian motion of the major player, and local optimal control problems are solved for both the major player and a representative minor player via backward stochastic differential equations. The resulting set of decentralized control strategies based on consistent mean field approximations is shown to have an e-Nash equilibrium property.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
