Title :
Mean field LQG games with a major player: Continuum parameters for minor players
Author :
Nguyen, Son Luu ; Huang, Minyi
Author_Institution :
School of Mathematics and Statistics, Carleton University, Ottawa, ON K1S 5B6, Canada
Abstract :
We consider a mean field LQG game model with a major player and a large number of minor players which are parametrized by a continuum set. We approximate the mean field generated by the minor players by a kernel representation using the Brownian motion of the major player, and local optimal control problems are solved for both the major player and a representative minor player via backward stochastic differential equations. The resulting set of decentralized control strategies based on consistent mean field approximations is shown to have an ε-Nash equilibrium property.
Keywords :
Approximation methods; Differential equations; Equations; Games; Limiting; Noise; Stochastic processes;
Conference_Titel :
Decision and Control and European Control Conference (CDC-ECC), 2011 50th IEEE Conference on
Conference_Location :
Orlando, FL, USA
Print_ISBN :
978-1-61284-800-6
Electronic_ISBN :
0743-1546
DOI :
10.1109/CDC.2011.6160790