Dynamic Optimization of Large-Population Systems with Partial Information

Jianhui Huang () and Shujun Wang ()
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Jianhui Huang: The Hong Kong Polytechnic University
Shujun Wang: The Hong Kong Polytechnic University

Journal of Optimization Theory and Applications, 2016, vol. 168, issue 1, No 12, 245 pages

Abstract: Abstract We consider the dynamic optimization of large-population system with partial information. The associated mean-field game is formulated, and its consistency condition is equivalent to the wellposedness of some Riccati equation system. The limiting state-average is represented by a mean-field stochastic differential equation driven by the common Brownian motion. The decentralized strategies with partial information are obtained, and the approximate Nash equilibrium is verified.

Keywords: Dynamic optimization; Forward–backward stochastic differential equation; Large-population system; Mean-field game; Partial information; 65K10; 91A25; 93E20; 93C41 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-015-0740-x

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