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Decentralized Strategies for Backward Linear-Quadratic Mean Field Games and Teams https://arxiv.org/abs/2501.04717 #mathOC

Decentralized Strategies for Backward Linear-Quadratic Mean Field Games and Teams

This paper studies a new class of linear-quadratic mean field games and teams problem, where the large-population system satisfies a class of $N$ weakly coupled linear backward stochastic differential equations (BSDEs), and $z_i$ (a part of solution of BSDE) enter the state equations and cost functionals. By virtue of stochastic maximum principle and optimal filter technique, we obtain a Hamiltonian system first, which is a fully coupled forward-backward stochastic differential equation (FBSDE). Decoupling the Hamiltonian system, we derive a feedback form optimal strategy by introducing Riccati equations, stochastic differential equation (SDE) and BSDE. Finally, we provide a numerical example to simulate our results.

arXiv.org
January 11, 2025 at 3:10 AM · · feed2toot · 0 · 0 · 0
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