Affiliation:
1. School of Mathematics and Statistics Qilu University of Technology (Shandong Academy of Sciences) Jinan China
2. School of Mathematics and Statistics Shandong Normal University Jinan China
Abstract
AbstractThis paper studies large‐population dynamic games involving a linear‐quadratic‐Gaussian (LQG) system with an exponential cost functional. The parameter in the cost functional can describe an investor's risk attitude. In the game, there are a major agent and a population of
minor agents where
is very large. The agents in the games are coupled via both their individual stochastic dynamics and their individual cost functions. The mean field methodology yields a set of decentralized controls, which are shown to be an
‐Nash equilibrium for a finite
population system where
. Numerical results are established to illustrate the impact of the population's collective behaviors and the consistency of the mean field estimation.
Funder
National Natural Science Foundation of China
Subject
Control and Systems Engineering,Electrical and Electronic Engineering,Mathematics (miscellaneous)
Cited by
1 articles.
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