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Pré-Publication, Document De Travail Année : 2018

Linear-Quadratic McKean-Vlasov Stochastic Differential Games

Résumé

We consider a multi-player stochastic differential game with linear McKean-Vlasov dynamics and quadratic cost functional depending on the variance and mean of the state and control actions of the players in open-loop form. Finite and infinite horizon problems with possibly some random coefficients as well as common noise are addressed. We propose a simple direct approach based on weak martingale optimality principle together with a fixed point argument in the space of controls for solving this game problem. The Nash equilibria are characterized in terms of systems of Riccati ordinary differential equations and linear mean-field backward stochastic differential equations: existence and uniqueness conditions are provided for such systems. Finally, we illustrate our results on a toy example.
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Dates et versions

hal-01941591 , version 1 (01-12-2018)

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Enzo Miller, Huyen Pham. Linear-Quadratic McKean-Vlasov Stochastic Differential Games. 2018. ⟨hal-01941591⟩
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