南方科技大学知识苑(SUSTech KC): Mean-field linear-quadratic stochastic differential games

题名	Mean-field linear-quadratic stochastic differential games
作者	Sun, Jingrui1 ; Wang, Hanxiao 2; Wu, Zhen 3
通讯作者	Wang, Hanxiao
发表日期	2021-09-25
DOI	10.1016/j.jde.2021.06.004
发表期刊	JOURNAL OF DIFFERENTIAL EQUATIONS 影响因子和分区
ISSN	0022-0396
EISSN	1090-2732
卷号	296
摘要	The paper is concerned with two-person zero-sum mean-field linear-quadratic stochastic differential games over finite horizons. By a Hilbert space method, a necessary condition and a sufficient condition are derived for the existence of an open-loop saddle point. It is shown that under the sufficient condition, the associated two Riccati equations admit unique strongly regular solutions, in terms of which the open loop saddle point can be represented as a linear feedback of the current state. When the game only satisfies the necessary condition, an approximate sequence is constructed by solving a family of Riccati equations and closed-loop systems. The convergence of the approximate sequence turns out to be equivalent to the open-loop solvability of the game, and the limit is exactly an open-loop saddle point, provided that the game is open-loop solvable. (c) 2021 Elsevier Inc. All rights reserved.
关键词	Linear-quadratic differential game Mean-field stochastic differential equation Zero-sum Open-loop saddle point Riccati equation Perturbation approach
相关链接	[来源记录]
收录类别	SCI
语种	英语
学校署名	第一
资助项目	NSFC[11831010,61961160732,11901280] ; Guangdong Basic and Applied Basic Research Foundation[2021A1515010031] ; SUSTech start-up funds["Y01286128","Y01286228"] ; Singapore MOE AcRF[R-146-000-271-112] ; Shandong Provincial Natural Science Foundation[ZR2019ZD42]
WOS研究方向	Mathematics
WOS类目	Mathematics
WOS记录号	WOS:000670295000011
出版者	ACADEMIC PRESS INC ELSEVIER SCIENCE
ESI学科分类	MATHEMATICS
来源库	Web of Science
引用统计	被引频次[WOS]：14
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/240194
专题	理学院_数学系
作者单位	1.Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Peoples R China 2.Natl Univ Singapore, Dept Math, Singapore 119076, Singapore 3.Shandong Univ, Sch Math, Jinan 250100, Peoples R China
第一作者单位	数学系
第一作者的第一单位	数学系
推荐引用方式 GB/T 7714	Sun, Jingrui,Wang, Hanxiao,Wu, Zhen. Mean-field linear-quadratic stochastic differential games[J]. JOURNAL OF DIFFERENTIAL EQUATIONS,2021,296.
APA	Sun, Jingrui,Wang, Hanxiao,&Wu, Zhen.(2021).Mean-field linear-quadratic stochastic differential games.JOURNAL OF DIFFERENTIAL EQUATIONS,296.
MLA	Sun, Jingrui,et al."Mean-field linear-quadratic stochastic differential games".JOURNAL OF DIFFERENTIAL EQUATIONS 296(2021).