A unified approach to linear-quadratic-Gaussian mean-field team: Homogeneity, heterogeneity and quasi-exchangeability
Author:
Affiliation:
1. Zhongtai Securities Institute for Financial Studies, Shandong University
2. Université de Rennes, CNRS
3. Department of Applied Mathematics, The Hong Kong Polytechnic University
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference44 articles.
1. Bensoussan, A., Sung, K. C. J., Yam, S. C. P. and Yung, S. P. (2016). Linear-quadratic mean field games. J. Optim. Theory Appl. 169 496–529.
2. HU, Y. and ZHOU, X. Y. (2005). Constrained stochastic LQ control with random coefficients, and application to portfolio selection. SIAM J. Control Optim. 44 444–466.
3. LI, X., ZHOU, X. Y. and LIM, A. E. B. (2002). Dynamic mean-variance portfolio selection with no-shorting constraints. SIAM J. Control Optim. 40 1540–1555.
4. CARMONA, R. and DELARUE, F. (2013). Probabilistic analysis of mean-field games. SIAM J. Control Optim. 51 2705–2734.
5. NUTZ, M. (2018). A mean field game of optimal stopping. SIAM J. Control Optim. 56 1206–1221.
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