论文标题

使用非主管数据的控制控制的线性季度平均现场游戏

Linear-Quadratic Mean Field Games of Controls with Non-Monotone Data

论文作者

Li, Min, Mou, Chenchen, Wu, Zhen, Zhou, Chao

论文摘要

在本文中,我们研究了一类线性季度(LQ)的平均野外控制,其中具有常见噪声及其相应的$ n $玩家游戏。平均野外游戏的理论认为,通过国家和控制的共同定律,互动是一类平均野外游戏。通过随机最大原则,我们首先分析了代表参与者的限制行为,并以反馈形式获得了他/她的最佳控制,并具有人口的给定分布流及其控制。平均场平衡由NASH确定性等效(NCE)系统确定。由于有了常见的噪声,我们不需要任何单调性条件来解决NCE系统的可溶性。我们还研究了由LQ平均控件游戏引起的主方程,这是有限维二阶方程。可以表明,主方程在任意时间范围内允许独特的经典解决方案,而没有任何单调性条件。除此之外,我们可以直接假设特质噪声的非分类性来直接解决$ n $玩家游戏。作为副产品,我们证明了从$ n $玩家游戏到平均现场游戏以及相关最佳轨迹的混乱属性传播的定量收敛。

In this paper, we study a class of linear-quadratic (LQ) mean field games of controls with common noises and their corresponding $N$-player games. The theory of mean field game of controls considers a class of mean field games where the interaction is via the joint law of both the state and control. By the stochastic maximum principle, we first analyze the limiting behavior of the representative player and obtain his/her optimal control in a feedback form with the given distributional flow of the population and its control. The mean field equilibrium is determined by the Nash certainty equivalence (NCE) system. Thanks to the common noise, we do not require any monotonicity conditions for the solvability of the NCE system. We also study the master equation arising from LQ mean field games of controls, which is a finite-dimensional second-order parabolic equation. It can be shown that the master equation admits a unique classical solution over an arbitrary time horizon without any monotonicity conditions. Beyond that, we can solve the $N$-player games directly by further assuming the non-degeneracy of the idiosyncratic noises. As byproducts, we prove the quantitative convergence results from the $N$-player game to the mean field game and the propagation of chaos property for the related optimal trajectories.

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