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.
- Game theory
- Stochastic systems
ASJC Scopus subject areas
- Control and Systems Engineering
- Computer Science Applications
- Electrical and Electronic Engineering