Linear Quadratic Mean Field Type Control and Mean Field Games with Common Noise, with Application to Production of an Exhaustible Resource

Linear Quadratic Mean Field Type Control and Mean Field Games with Common Noise, with Application... We study a general linear quadratic mean field type control problem and connect it to mean field games of a similar type. The solution is given both in terms of a forward/backward system of stochastic differential equations and by a pair of Riccati equations. In certain cases, the solution to the mean field type control is also the equilibrium strategy for a class of mean field games. We use this fact to study an economic model of production of exhaustible resources. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Linear Quadratic Mean Field Type Control and Mean Field Games with Common Noise, with Application to Production of an Exhaustible Resource

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Publisher
Springer US
Copyright
Copyright © 2016 by Springer Science+Business Media New York
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-016-9385-x
Publisher site
See Article on Publisher Site

Abstract

We study a general linear quadratic mean field type control problem and connect it to mean field games of a similar type. The solution is given both in terms of a forward/backward system of stochastic differential equations and by a pair of Riccati equations. In certain cases, the solution to the mean field type control is also the equilibrium strategy for a class of mean field games. We use this fact to study an economic model of production of exhaustible resources.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Nov 11, 2016

References

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