Mean-Field Linear-Quadratic-Gaussian (LQG) Games for Stochastic Integral Systems
Mean-Field Linear-Quadratic-Gaussian (LQG) Games for Stochastic Integral Systems
In this paper, we formulate and investigate a class of mean-field linear-quadratic-Gaussian (LQG) games for stochastic integral systems.Unlike other literature on mean-field games where the individual states follow the controlled stochastic differential equations (SDEs), the individual states in our largepopulation system are characterized by a class of stochastic Volterra-type integral …