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arXiv · 1610.05895

Linear Quadratic Mean Field Game with Control Input Constraint

Ying Hu·Huang Jianhui·Xun Li
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Abstract

In this paper, we study a class of linear-quadratic (LQ) mean-field games in which the individual control process is constrained in a closed convex subset $\Gamma$ of full space $\mathbb{R}^m$. The decentralized strategies and consistency condition are represented by a class of mean-field forward-backward stochastic differential equation (MF-FBSDE) with projection operators on $\Gamma$. The wellposedness of consistency condition system is obtained using the monotonicity condition method. The related $\epsilon$-Nash equilibrium property is also verified.

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Ying Hu, Huang Jianhui, Xun Li. 2016-10-19. Linear Quadratic Mean Field Game with Control Input Constraint. https://arxiv.org/abs/1610.05895

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