零和LQ随机平均场动态对策问题的增补\\(扩展版)

S. Aberkane, V. Drăgan
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引用次数: 0

摘要

本文首先讨论了一类具有领导-追随者结构的线性二次平均场博弈问题。通过采用riccti -type方法,我们展示了如何根据耦合矩阵微分riccti -type方程组的全局解获得实现开环Stackelberg平衡的策略对的状态反馈表示。在本文的第二部分,我们得到了所涉及的耦合广义Riccati方程可解的充分必要条件。
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An Addendum to the Problem of Zero-Sum LQ Stochastic Mean-Field Dynamic Games\\ (Extended version)
In this paper, we first address a linear quadratic mean-field game problem with a leader-follower structure. By adopting a Riccati-type approach, we show how one can obtain a state-feedback representation of the pairs of strategies which achieve an open-loop Stackelberg equilibrium in terms of the global solutions of a system of coupled matrix differential Riccati-type equations. In the second part of this paper, we obtain necessary and sufficient conditions for the solvability of the involved coupled generalized Riccati equations.
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