标题：ϵ-Nash mean-field games for general linear-quadratic systems with applications
作者：Xu R.; Zhang F.
作者机构：[Xu, R] School of Mathematics and Statistics, Qilu University of Technology (Shandong Academy of Sciences), Jinan, 250353, China;[ Zhang, F] School of 更多
通讯作者地址：[Zhang, F] School of Mathematics and Quantitative Economics, Shandong University of Finance and EconomicsChina;
关键词：Large population; Linear-quadratic problem; Mean-field game; ϵ-Nash equilibrium
摘要：This paper is concerned with general mean-field (MF) linear-quadratic (LQ) games of stochastic large-population system, where the individual diffusion coefficient can depend on both the state and the control of the agent. Moreover, the control weight in the cost functional could be indefinite. The asymptotic suboptimality property (namely, ϵ-Nash equilibrium) of the decentralized strategies for the LQ games is derived through the consistency condition. The impact of the population's collective behaviors and the consistency of the mean field estimation are illustrated by the numerical results. A pricing problem is also studied, for which the decentralized suboptimal price is obtained. © 2020 Elsevier Ltd