scholarly journals Linear-quadratic-Gaussian mean-field-game with partial observation and common noise

2021 ◽  
Vol 11 (1) ◽  
pp. 23-46
Author(s):  
Alain Bensoussan ◽  
◽  
Xinwei Feng ◽  
Jianhui Huang ◽  
◽  
...  
Keyword(s):  
Mean Field ◽  
Partial Observation ◽  
Linear Quadratic ◽  
Linear Quadratic Gaussian ◽  
Mean Field Game ◽  
Common Noise

The Second-Order Master Equation

2019 ◽  
pp. 128-158
Author(s):  
Pierre Cardaliaguet ◽  
François Delarue ◽  
Jean-Michel Lasry ◽  
Pierre-Louis Lions
Keyword(s):  
Master Equation ◽  
Mean Field ◽  
Second Order ◽  
Well Posedness ◽  
Mean Field Game ◽  
First Order ◽  
Common Noise ◽  
System P ◽  
The Mean

This chapter investigates the second-order master equation with common noise, which requires the well-posedness of the mean field game (MFG) system. It also defines and analyzes the solution of the master equation. The chapter explains the forward component of the MFG system that is recognized as the characteristics of the master equation. The regularity of the solution of the master equation is explored through the tangent process that solves the linearized MFG system. It also analyzes first-order differentiability and second-order differentiability in the direction of the measure on the same model as for the first-order derivatives. This chapter concludes with further description of the derivation of the master equation and well-posedness of the stochastic MFG system.

scholarly journals Selection of equilibria in a linear quadratic mean-field game

2020 ◽  
Vol 130 (2) ◽  
pp. 1000-1040 ◽  
Author(s):  
François Delarue ◽  
Rinel Foguen Tchuendom
Keyword(s):  
Mean Field ◽  
Linear Quadratic ◽  
Quadratic Mean ◽  
Mean Field Game ◽  
Selection Of
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