Linear-quadratic mean-field-type games: Jump-diffusion process with regime switching

Julian Barreiro-Gomez; Tyrone E. Duncan; Hamidou Tembine

doi:10.1109/TAC.2019.2895295

Linear-quadratic mean-field-type games: Jump-diffusion process with regime switching

Julian Barreiro-Gomez, Tyrone E. Duncan, Hamidou Tembine

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper, we study a linear-quadratic mean-fieldtype game problem under jump-diffusion-regime switching state dynamics that include mean-field terms in the states and in the cost function. In the cost functional, we consider conditional variance of both the states and control actions, mean of both states and control actions, and covariance terms. The underlying problem is solved in a semiexplicit way by using the direct method.

Original language	English (US)
Article number	8626541
Pages (from-to)	4329-4336
Number of pages	8
Journal	IEEE Transactions on Automatic Control
Volume	64
Issue number	10
DOIs	https://doi.org/10.1109/TAC.2019.2895295
State	Published - Oct 2019

Keywords

Game theory
Stochastic systems

ASJC Scopus subject areas

Control and Systems Engineering
Computer Science Applications
Electrical and Electronic Engineering

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10.1109/TAC.2019.2895295

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abstract = "In this paper, we study a linear-quadratic mean-fieldtype game problem under jump-diffusion-regime switching state dynamics that include mean-field terms in the states and in the cost function. In the cost functional, we consider conditional variance of both the states and control actions, mean of both states and control actions, and covariance terms. The underlying problem is solved in a semiexplicit way by using the direct method.",

keywords = "Game theory, Stochastic systems",

author = "Julian Barreiro-Gomez and Duncan, {Tyrone E.} and Hamidou Tembine",

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Linear-quadratic mean-field-type games: Jump-diffusion process with regime switching

Abstract

Keywords

ASJC Scopus subject areas

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