Linear-Quadratic $N$-person and Mean-Field Games with Ergodic Cost
نویسندگان
چکیده
منابع مشابه
Linear-Quadratic N-person and Mean-Field Games with Ergodic Cost
We consider stochastic differential games with N players, linear-Gaussian dynamics in arbitrary state-space dimension, and long-time-average cost with quadratic running cost. Admissible controls are feedbacks for which the system is ergodic. We first study the existence of affine Nash equilibria by means of an associated system of N Hamilton-JacobiBellman and N Kolmogorov-Fokker-Planck partial ...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2014
ISSN: 0363-0129,1095-7138
DOI: 10.1137/140951795