Dynamic Optimization of Large-Population Systems with Partial Information

• DOI: 10.1007/s10957-015-0740-x
• Publication Date: 2015-05-05T14:23:26Z
• Authors: Jianhui Huang; Shujun Wang
• Keywords: Theory of computation

We consider the dynamic optimization of large-population system with partial information. The associated mean-field game is formulated, and its consistency condition is equivalent to the wellposedness of some Riccati equation system. The limiting state-average is represented by a mean-field stochastic differential equation driven by the common Brownian motion. The decentralized strategies with partial information are obtained, and the approximate Nash equilibrium is verified.