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A5101580764
Research Areas
- Economic theories and models
- Insurance, Mortality, Demography, Risk Management
- Stochastic processes and financial applications
Shandong University
2024
This paper considers a linear-quadratic (LQ) mean-field game governed by forward-backward stochastic system with partial observation and common noise, where coupling structure enters state equations, cost functionals equations. Firstly, to reduce the complexity of solving game, limiting control problem is introduced. By virtue decomposition approach, an admissible set proposed. Applying filter technique dimensional-expansion technique, decentralized strategy consistency condition are...
10.1109/jas.2023.124047
article
EN
IEEE/CAA Journal of Automatica Sinica
2024-02-12
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