Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars

Speaker:	李敏, 山东大学
Inviter:
Title:	Linear-Quadratic Mean Field Games of Controls With Non-Monotone Data
Language:	Chinese
Time & Venue:	2024.01.18 19:00-21:00 腾讯会议: 759-237-625
Abstract:	In this paper, we study a class of linear-quadratic (LQ) mean field games of controls with common noises and their corresponding N-player games. The theory of mean field game of controls considers a class of mean field games where the interaction is via the joint law of both the state and control. By the stochastic maximum principle, we first analyze the limiting behavior of the representative player and obtain his/her optimal control in a feedback form with the given distributional flow of the population and its control. The mean field equilibrium is determined by the Nash certainty equivalence (NCE) system. Thanks to the common noise, we do not require any monotonicity conditions for the solvability of the NCE system. We also study the master equation arising from the LQ mean field game of controls, which is a finite-dimensional second-order parabolic equation. It can be shown that the master equation admits a unique classical solution over an arbitrary time horizon without any monotonicity conditions. Beyond that, we can solve the N-player game directly by further assuming the non-degeneracy of the idiosyncratic noises. As byproducts, we prove the quantitative convergence results from the N-player game to the mean field game and the propagation of chaos property for the related optimal trajectories. This talk is based on the joint work Trans. Amer. Math. Soc., 2023, 376(6): 4105-4143, with Profs. C. Mou, Z. Wu and C. Zhou.