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Linear quadratic mean field social control with common noise: A directly decoupling method?
期刊论文
AUTOMATICA, 2022, 卷号: 146, 页码: 14
作者:
Wang, Bing-Chang
;
Zhang, Huanshui
;
Zhang, Ji-Feng
收藏
  |  
浏览/下载:15/0
  |  
提交时间:2023/02/07
Mean field game
Optimal social cost
Stabilization
Finite agents
Common noise
FBSDE
Mean field linear-quadratic control: Uniform stabilization and social optimality
期刊论文
AUTOMATICA, 2020, 卷号: 121, 页码: 14
作者:
Wang, Bing-Chang
;
Zhang, Huanshui
;
Zhang, Ji-Feng
收藏
  |  
浏览/下载:17/0
  |  
提交时间:2021/01/14
Mean field game
Variational analysis
Stabilization control
FBSDE
Riccati equation
A PARTIALLY OBSERVED NON-ZERO SUM DIFFERENTIAL GAME OF FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPLICATION IN FINANCE
期刊论文
MATHEMATICAL CONTROL AND RELATED FIELDS, 2019, 卷号: 9, 期号: 2, 页码: 257-276
作者:
Xiong, Jie
;
Zhang, Shuaiqi
;
Zhuang, Yi
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  |  
浏览/下载:10/0
  |  
提交时间:2019/12/11
Forward-backward stochastic differential equation
stochastic
differential game
maximum principle
equilibrium point
stochastic
filtering
Linear-Quadratic Stackelberg Game for Mean-Field Backward Stochastic Differential System and Application
期刊论文
Mathematical Problems in Engineering, 2019, 卷号: 2019
作者:
Du, Kai
;
Wu, Zhen
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  |  
浏览/下载:11/0
  |  
提交时间:2019/12/11
An Open-Loop Stackelberg Strategy for the Linear Quadratic Mean-Field Stochastic Differential Game
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2019, 卷号: 64, 期号: 1, 页码: 97-110
作者:
Lin, Yaning
;
Jiang, Xiushan
;
Zhang, Weihai
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  |  
浏览/下载:17/0
  |  
提交时间:2019/12/11
Mean-field forward-backward stochastic differential equation (MF-FBSDE)
mean-field stochastic linear-quadratic (LQ) optimal control
mean-field
stochastic systems
Riccati equations
Stackelberg strategy
Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds
期刊论文
International Journal of Control, 2019
作者:
Du K.
;
Huang J.
;
Wu Z.
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
forward–backward stochastic differential equation
mean-field game
terminal constraint
ε-Nash equilibrium
A kind of stochastic recursive Zero-Sum differential game problem with double obstacles constraint
期刊论文
Communications in Statistics - Theory and Methods, 2019
作者:
Wu Z.
;
Xu Z.
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  |  
浏览/下载:7/0
  |  
提交时间:2019/12/11
doubly reflected backward stochastic differential equation
mixed differential game
recursive utility
stochastic zero-sum differential game
sufficient condition
Linear Quadratic Pareto Game of the Stochastic Systems in Infinite Horizon
期刊论文
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2019, 卷号: 183, 期号: 2, 页码: 671-687
作者:
Lin, Yaning
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
Pareto optimality
Stochastic differential game
Infinite horizon
Generalized algebraic Riccati equation
Pareto optimal strategy for linear stochastic systems with H∞ constraint in finite horizon
期刊论文
Information Sciences, 2019
作者:
Jiang X.
;
Tian S.
;
Zhang T.
;
Zhang W.
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  |  
浏览/下载:8/0
  |  
提交时间:2019/12/11
Cross-coupled generalized differential Riccati equations
Finite horizon
H∞ constraint
Pareto game
Stochastic indefinite LQ control
Linear quadratic mean field social control with random coefficients and common noise
期刊论文
Chinese Control Conference, CCC, 2019, 卷号: 2019-July, 页码: 1491-1498
作者:
Wang, Bing-Chang
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
Forward-backward stochastic differential equation
Mean field game
Social optimality
Stochastic Riccati equation
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