scholarly journals Linear quadratic mean-field-game of backward stochastic differential systems

2018 ◽  
Vol 8 (3) ◽  
pp. 653-678 ◽  
Author(s):  
Kai Du ◽  
◽  
Jianhui Huang ◽  
Zhen Wu ◽  
◽  
...  
2020 ◽  
Vol 130 (2) ◽  
pp. 1000-1040 ◽  
Author(s):  
François Delarue ◽  
Rinel Foguen Tchuendom

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 90
Author(s):  
Jean-Pierre Fouque ◽  
Zhaoyu Zhang

We study a toy model of linear-quadratic mean field game with delay. We “lift” the delayed dynamic into an infinite dimensional space, and recast the mean field game system which is made of a forward Kolmogorov equation and a backward Hamilton-Jacobi-Bellman equation. We identify the corresponding master equation. A solution to this master equation is computed, and we show that it provides an approximation to a Nash equilibrium of the finite player game.


2020 ◽  
Vol 50 (12) ◽  
pp. 5089-5098 ◽  
Author(s):  
Julian Barreiro-Gomez ◽  
Tyrone E. Duncan ◽  
Hamidou Tembine

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