DocumentCode :
3432840
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
fYear :
2011
fDate :
12-15 Dec. 2011
Firstpage :
1012
Lastpage :
1017
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;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Decision and Control and European Control Conference (CDC-ECC), 2011 50th IEEE Conference on
Conference_Location :
Orlando, FL, USA
ISSN :
0743-1546
Print_ISBN :
978-1-61284-800-6
Electronic_ISBN :
0743-1546
Type :
conf
DOI :
10.1109/CDC.2011.6160790
Filename :
6160790
Link To Document :
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