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

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

Research output: Contribution to journalArticle

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 languageEnglish (US)
Article number8626541
Pages (from-to)4329-4336
Number of pages8
JournalIEEE Transactions on Automatic Control
Volume64
Issue number10
DOIs
StatePublished - 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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